Covid-19 impact on NFTs and major asset classes interrelations: Insights from the wavelet coherence analysis

Zaghum Umar, Mariya Gubareva, Tamara Teplova and Dang K. Tran

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

Abstract: Non-fungible tokens (NFTs) revolutionize crypto-landscape, becoming popular among investors and general public. This first-ever study of coherence between returns of NFTs and major assets employs the wavelet approach. The pairwise returns coherence between the considered markets grows throughout the Covid-19. Before the pandemic, NFTs lag behind stocks (2017) and bitcoin (2018), while lead gold (2018). We reveal that the returns coherence between NFTs and other assets is high/low for the two-week-plus/below-to-weeks investment horizons. We refine Aharon and Demir´s (2021) findings stating that NFTs absorbed risk during Covid-19 by demonstrating that this conclusion holds only in the short-run for below-two-weeks horizons.

Keywords: Return connectedness; Covid-19; Non-Fungible Tokens; Spillover (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (56)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:47:y:2022:i:pb:s1544612322000496

DOI: 10.1016/j.frl.2022.102725

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