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
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (10)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S2214635022000405

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:beexfi:v:35:y:2022:i:c:s2214635022000405

DOI: 10.1016/j.jbef.2022.100692

Access Statistics for this article

Journal of Behavioral and Experimental Finance is currently edited by Michael Dowling and Jürgen Huber

More articles in Journal of Behavioral and Experimental Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu ().