Are non-fungible tokens (NFTs) different asset classes? Evidence from quantile connectedness approach

Yufei Xia, Jinglong Li and Yating Fu

Finance Research Letters, 2022, vol. 49, issue C

Abstract: The emerging Non-fungible tokens (NFTs) have received investors’ attention as an alternative asset, whereas the nexus between NFTs and major asset classes remains unsettled and emerges as an issue of unquestionable interest. Using a novel Q-Joint spillover model, we explore the quantile connectedness between NFTs and common asset classes. We reveal that return and volatility cross-asset spillovers are much higher in extreme market conditions than that of normal times. The noticeable directional connectedness and results of hierarchical clustering of directional spillovers hint that NFTs should not be considered as a distinct asset class in extreme market conditions.

Keywords: Non-fungible tokens; Quantile connectedness; Spillover; Hierarchical clustering analysis (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (15)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:49:y:2022:i:c:s1544612322003786

DOI: 10.1016/j.frl.2022.103156

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