Time-frequency correlations and extreme spillover effects between carbon markets and NFTs: The roles of EPU and COVID-19

Jiatong Liu

Finance Research Letters, 2023, vol. 54, issue C

Abstract: This paper examines the correlations and spillover effects between carbon markets and NFTs, and explores the roles of EPU and COVID-19, utilizing the rolling window wavelet correlation and the quantile frequency connectedness approach. We find, first, strong correlations between returns mainly exist in the long term. Second, the extreme volatility spillover in the carbon-NFT system is greater and faster than in normal case. Third, major international events increase the total connectedness of the system. Fourth, COVID-19 inhibits carbon-NFTs' extreme spillover effect, while China's EPU has positive impacts. Our results also provide valuable references and policy implications for investors and policymakers.

Keywords: Carbon market; NFTs; Time-frequency analysis; Rolling wavelet correlation; Quantile frequency connectedness (search for similar items in EconPapers)
JEL-codes: C32 G10 G14 Q50 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (13)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:54:y:2023:i:c:s1544612323000648

DOI: 10.1016/j.frl.2023.103690

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