Dynamic connectedness between non-fungible tokens, decentralized finance, and conventional financial assets in a time-frequency framework

Zaghum Umar, Onur Polat, Sun-Yong Choi and Tamara Teplova

Pacific-Basin Finance Journal, 2022, vol. 76, issue C

Abstract: This study examines how the COVID-19 pandemic has affected the connectedness between non-fungible tokens, decentralized finance coins, traditional financial assets, and cryptocurrencies. We employed a time-varying parameter vector autoregressive based frequency-dependent network connectedness approach to investigate return and volatility spillover effects between assets in time and frequency domains. The findings show that both the returns and volatility spillovers have been significantly affected by the COVID-19 pandemic, and long- and short-term connectedness vary over the course of the pandemic. These findings have implications for investors, portfolio managers, and policymakers regarding their investment strategies, portfolio allocation, and risk monitoring.

Keywords: Non-fungible tokens; Decentralized finance; COVID-19 pandemic; Spillover effects (search for similar items in EconPapers)
JEL-codes: F3 F36 G1 G15 (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (20)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:pacfin:v:76:y:2022:i:c:s0927538x22001718

DOI: 10.1016/j.pacfin.2022.101876

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