ArticleFinance research letters2022
NFTs and asset class spillovers: Lessons from the period around the COVID-19 pandemic.
Article in Finance research letters, 2022. The graph could read no effect estimate from its abstract, so it casts no vote on the map. Cited by 8 papers.
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Who cites it
8 citing papers in PubMed, 271 citations in OpenAlex.
- Article
- Do returns and volatility spillovers exist across tech stocks, cryptocurrencies and NFTs?Heliyon · 2024Article
- Article
- The dynamic network of industries in US stock market: Evidence of GFC, COVID-19 pandemic and Russia-Ukraine war.Heliyon · 2023Article
- Non-fungible token integration in neurosurgery: a technical review.Neurosurgical review · 2023Review
- Empirical evidence on the ownership and liquidity of real estate tokens.Financial innovation · 2023Article
- The Return and Volatility Connectedness of NFT Segments and Media Coverage: Fresh Evidence Based on News About the COVID-19 Pandemic.Finance research letters · 2022Article
- Heterogeneous rarity patterns drive price dynamics in NFT collections.Scientific reports · 2022Article
Corrections and comments
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Authors and funding
2 authors at 2 institutions in 3 countries.
Funding
No grant is acknowledged in the PubMed record.
Abstract
In this paper, we analyze the connectedness between returns for non-fungible tokens (NFTs) and other financial assets (equities, bonds, currencies, gold, oil, Ethereum) during the period from January 2018 to June 2021. By using the Time-Varying Parameter Vector Autoregressions (TVP-VAR) approach, we show that the overall connectedness between the returns for financial assets increased during the COVID-19 period. Our static analysis shows that the behavior of the majority of NFT returns is attributable to endogenous shocks and only a small portion of this variation resulted from the impact of innovation in other assets. The results suggest that NFTs are mainly independent of shocks from common assets classes and even from their close relation, Ethereum. The dynamic analysis across time reveals that during normal times, NFTs act as transmitters of systemic risk to some degree, but during stressful times, their role shifts, and they act as absorbers of risk spillovers. This suggests that NFTs may have diversification benefits during turbulent times, as apparent during the COVID-19 crisis, and especially around the great March 2020 market plunge.
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