Global macroeconomic factors and the connectedness among NFTs and (un)conventional assets

Christian Urom, Gideon Ndubuisi and Khaled Guesmi

Research in International Business and Finance, 2024, vol. 71, issue C

Abstract: This paper examines return and volatility connectedness among Non-Fungible Tokens (NFTs) and (un)conventional financial assets across various market conditions using a Quantile-VAR connectedness technique. It also explores the predictive powers of major global macroeconomic and geopolitical indicators on both connectedness across these market conditions. First, we find that return and volatility connectedness vary across market conditions, with higher levels during extreme events. Except during bullish periods, return connectedness dominates volatility connectedness. Second, NFTs are decoupled from both (un)conventional assets during normal market condition but it is a net return shocks receiver except under bullish market period, where it is a net transmitter. However, it is a net volatility shocks receiver irrespective of the market situation. Lastly, geopolitical risks, business condition and economic policy uncertainty are important predictors of return and volatility connectedness, although the strength and direction are heterogeneous. We discuss the policy implications of these findings.

Keywords: Non-fungible tokens; Green energy; Gray energy; Spillovers; Quantile connectedness (search for similar items in EconPapers)
JEL-codes: C58 G11 G12 G14 G40 (search for similar items in EconPapers)
Date: 2024
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:71:y:2024:i:c:s0275531924002228

DOI: 10.1016/j.ribaf.2024.102429

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