The economic value of NFT: Evidence from a portfolio analysis using mean-variance framework

【Author】 Ko, Hyungjin; Son, Bumho; Lee, Yunyoung; Jang, Huisu; Lee, Jaewook

【Source】FINANCE RESEARCH LETTERS

【影响因子】9.848

【Abstract】We investigate whether the inclusion of NFTs in portfolio investing in traditional assets provides a significant diversification benefit for constructing a well-diversified portfolio. We examine Pearson's correlation, the Gerber Statistic for co-movement, and the spillover index for volatility transmission. Our findings suggest that NFTs are distinct from traditional assets, potentially resulting in portfolio diversification. Using the mean-variance approach, empirical results demonstrate there exist a statistically significant evidence that the inclusion of NFTs improves the performance of equally weighted and tangency portfolio strategies in terms of Sharpe ratio. It confirms that NFTs have a diversification effect on the traditional asset-based portfolios.

【Keywords】Non-fungible tokens; Portfolio analysis; Mean-variance framework; The diversification effect

【发表时间】2022 JUN

【收录时间】2022-07-17

【文献类型】实证性文章

【主题类别】

区块链应用-虚拟经济-NFT