The Return and Volatility Connectedness of NFT Segments and Media Coverage: Fresh Evidence Based on News About the COVID-19 Pandemic
Source of Publication
Finance Research Letters
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.
Connectedness, COVID-19, non-fungible tokens (NFT), spillover, media coverage
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.
Indexed in Scopus
Open Access Type
Bronze: This publication is openly available on the publisher’s website but without an open license