NFTs and asset class spillovers: Lessons from the period around the COVID-19 pandemic

【Author】 Aharon, David Y.; Demir, Ender

【Source】FINANCE RESEARCH LETTERS

【影响因子】9.848

【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 (TVPVAR) 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.

【Keywords】NFT; Return connectedness; COVID-19; Non-fungible tokens; Spillover

【发表时间】2022 JUN

【收录时间】2022-07-30

【文献类型】理论性文章

【主题类别】

区块链应用-虚拟经济-NFT