Time-frequency cross-quantile liquidity connectedness of cryptocurrencies, DeFi tokens and NFTs

Xi Deng, Huiming Zhu, Shuang Li, Zishan Huang and Xi Huang

Applied Economics Letters, 2025, vol. 32, issue 4, 498-504

Abstract: This study measures time-frequency liquidity and investigates the quantile connectedness of cryptocurrencies, decentralized finance, and non-fungible tokens (NFTs). The empirical results reveal that high-liquidity cryptocurrencies and yield-farming tokens are the main net spillover transmitters of low-liquidity cryptocurrencies’ downside networks in the short term. In addition, the connectedness between high-liquidity cryptocurrencies and yield-farming tokens significantly increases in the long-term upside network. Finally, NFTs exhibit substantial risk-bearing abilities.

Date: 2025
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DOI: 10.1080/13504851.2023.2275651

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