Risk contagion of NFT: A time-frequency risk spillover perspective in the Carbon-NFT-Stock system

Jiatong Liu, You Zhu, Gang-Jin Wang, Chi Xie and Qilin Wang

Finance Research Letters, 2024, vol. 59, issue C

Abstract: This paper pioneers exploring the risk contagion attributes of emerging NFT markets, characterized by considerable volatility, through a time-frequency risk spillover lens within the integrated Carbon-NFT-Stock system. Our findings are multifaceted. Firstly, NFT acts as the risk transmitter in extreme upside condition and receiver in extreme downside condition. Secondly, in extreme downside condition, the destructiveness of risk contagion remains unabated in the long term, and major events amplify the total risk spillover. Thirdly, risk spillovers of NFT and EUA are susceptible to crude oil. Fourthly, carbon market regulators should remain vigilant about risks from the US stock market.

Keywords: Carbon-NFT-Stock system; Time-frequency analysis; Risk contagion; Extreme risk spillover (search for similar items in EconPapers)
JEL-codes: C32 G10 O16 (search for similar items in EconPapers)
Date: 2024
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:59:y:2024:i:c:s1544612323011376

DOI: 10.1016/j.frl.2023.104765

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