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Return and volatility connectedness of the non-fungible tokens segments

Zaghum Umar, Wafa Alwahedi, Adam Zaremba and Xuan Vinh Vo

Journal of Behavioral and Experimental Finance, 2022, vol. 35, issue C

Abstract: Non-fungible tokens (NFTs) have garnered attention from investors and the general public. This pioneering study analyzes the connectedness of five NFT segments by employing the TVP-VAR based connectedness approach of Antonakakis et al. (2020) to identify the transmitter and receivers of spillover for both return and volatility of NFT segments. Our results show that Utility NFTs are the main transmitter of spillover, whereas the collectible NFTs are the main recipient of spillover for both return and volatility. Our findings have important implications for both investors and policy makers.

Keywords: Return connectedness; COVID-19; Non-fungible tokens; NFT spillover (search for similar items in EconPapers)
JEL-codes: C5 F3 G10 G12 (search for similar items in EconPapers)
Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:eee:beexfi:v:35:y:2022:i:c:s2214635022000405

DOI: 10.1016/j.jbef.2022.100692

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