Connectedness of non-fungible tokens and conventional cryptocurrencies with metals

【Author】 Yousaf, Imran; Gubareva, Mariya; Teplova, Tamara

【Source】NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE

【影响因子】3.136

【Abstract】Employing the vector auto-regression based on generalized forecast error variance decomposition, this paper investigates the connectedness of non-fungible tokens (NFTs) with precious and industrial metals and compares the results with those for conventional cryptocurrencies (CCCs). Our study scrutinizes separately the total static and the net dynamic spillovers of returns and volatilities from March 2018 to August 2021. We evidence that both, the total return and total volatility connectedness indices for the NFTs-metals framework are below the respective indices for the CCCs-metals framework, indicating new avenues for hedging and harvesting diversification benefits of NFT exposures. We provide empirical evidence that the NFTs are distinct from the CCCs not only in terms of the volatility spillovers, but in terms of the return spillovers too. In addition, we observe the decoupling in the net volatility spillovers between the precious and non precious metals due to the COVID-19 meltdown. COVID-19 makes precious metals transmit volatility while industrial metals continue acting as net receivers of volatility shocks. Optimal weight and hedge ratios are presented for NFT-metal and crypto-metal pairs. These findings provide potential implications for investors and policy makers.

【Keywords】Non-fungible tokens (NFTs) Cryptocurrencies Static and dynamic connectedness Return and volatility spillovers Precious and non-precious metals COVID-19 Optimal weights and hedge ratios

【发表时间】2023 SEP

【收录时间】2023-10-10

【文献类型】实证数据

【主题类别】

区块链应用-虚拟经济-NFT