Dynamic connectedness between non-fungible tokens, decentralized finance, and conventional financial assets in a time-frequency framework

【Author】 Umar, Zaghum; Polat, Onur; Choi, Sun -Yong; Teplova, Tamara

【Source】PACIFIC-BASIN FINANCE JOURNAL

【影响因子】3.239

【Abstract】This study examines how the COVID-19 pandemic has affected the connectedness between non -fungible tokens, decentralized finance coins, traditional financial assets, and cryptocurrencies. We employed a time-varying parameter vector autoregressive based frequency-dependent network connectedness approach to investigate return and volatility spillover effects between assets in time and frequency domains. The findings show that both the returns and volatility spillovers have been significantly affected by the COVID-19 pandemic, and long-and short-term connect-edness vary over the course of the pandemic. These findings have implications for investors, portfolio managers, and policymakers regarding their investment strategies, portfolio allocation, and risk monitoring.

【Keywords】Non -fungible tokens; Decentralized finance; COVID-19 pandemic; Spillover effects

【发表时间】2022 DEC

【收录时间】2022-12-18

【文献类型】实证数据

【主题类别】

区块链治理-市场治理-市场分析