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

Author First name, Last name, Institution

Zaghum Umar, Zayed University; University of Economics Ho Chi Minh CityFollow
Afsheen Abrar, National University of Modern Languages
Adam Zaremba, Montpellier Business School; Poznań University of Economics and Business
Tamara Teplova, National Research University Higher School of Economics
Xuan Vinh Vo, University of Economics Ho Chi Minh City

Document Type

Article

Source of Publication

Finance Research Letters

Publication Date

6-2-2022

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.

DOI Link

10.1016/j.frl.2022.103031

ISSN

1544-6131

Publisher

Elsevier BV

First Page

103031

Last Page

103031

Disciplines

Business

Keywords

Connectedness, COVID-19, non-fungible tokens (NFT), spillover, media coverage

Scopus ID

85131948025

Recommended Citation

Umar, Zaghum; Abrar, Afsheen; Zaremba, Adam; Teplova, Tamara; and Vo, Xuan Vinh, "The Return and Volatility Connectedness of NFT Segments and Media Coverage: Fresh Evidence Based on News About the COVID-19 Pandemic" (2022). All Works. 5158.
https://zuscholars.zu.ac.ae/works/5158

Indexed in Scopus

yes

Open Access

yes

Open Access Type

Bronze: This publication is openly available on the publisher’s website but without an open license