Examining the interrelatedness of NFTs, DeFi tokens and cryptocurrencies

Sitara Karim, Brian Lucey, Muhammad Abubakr Naeem and Gazi Uddin

Finance Research Letters, 2022, vol. 47, issue PB

Abstract: The high volatility of the blockchain markets has driven the attention of investors and market participants to concentrate on the diversification avenues of NFTs, DeFi Tokens, and Cryptocurrencies. We examined the extreme risk transmission of blockchain markets using the quantile connectedness technique at the median, extreme low, and extreme high volatility conditions. We find significant risk spillovers among blockchain markets with strong disconnection of NFTs. Meanwhile, time-varying features characterized various uneven economic circumstances. Overall, NFTs offer greater diversification avenues with substantial risk-bearing potential among other blockchain markets to shelter the investments and minimize extreme risks.

Keywords: Blockchain markets; Diversification; Extreme risk spillovers, Quantile connectedness (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (115)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:47:y:2022:i:pb:s1544612322000253

DOI: 10.1016/j.frl.2022.102696

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