The Return and Volatility Connectedness of NFT Segments and Media Coverage: Fresh Evidence Based on News About the COVID-19 Pandemic

【Author】 Umar, Zaghum; Abrar, Afsheen; Zaremba, Adam; Teplova, Tamara; Vo, Xuan Vinh

【Source】FINANCE RESEARCH LETTERS

【影响因子】9.848

【Abstract】We study the relationship between return and volatility of non-fungible tokens (NFT) segments and media coverage during the outbreak of the COVID-19 pandemic in a connectedness framework. We document media coverage as a net transmitter of spillover for both the return and volatility of NFT segments. We find that NFTs representing the Utilities segment is a major transmitter of spillover. Our findings have important implications for portfolio managers, regulators, and policymakers.

【Keywords】connectedness; COVID-19; non-fungible tokens (NFT); spillover; media coverage

【发表时间】2022 OCT

【收录时间】2022-07-30

【文献类型】实证性文章

【主题类别】

区块链应用-虚拟经济-NFT