Return and volatility connectedness of the non-fungible tokens segments

Author First name, Last name, Institution

Zaghum Umar, Zayed University; University of Economics Ho Chi Minh CityFollow
Wafa Alwahedi, Zayed UniversityFollow
Adam Zaremba, Montpellier Business School; Poznań University of Economics and Business
Xuan Vinh Vo, University of Economics Ho Chi Minh City

Document Type

Article

Source of Publication

Journal of Behavioral and Experimental Finance

Publication Date

6-1-2022

Abstract

Non-fungible tokens (NFTs) have garnered attention from investors and the general public. This pioneering study analyzes the connectedness of five NFT segments by employing the TVP-VAR based connectedness approach of Antonakakis et al. (2020) to identify the transmitter and receivers of spillover for both return and volatility of NFT segments. Our results show that Utility NFTs are the main transmitter of spillover, whereas the collectible NFTs are the main recipient of spillover for both return and volatility. Our findings have important implications for both investors and policy makers.

DOI Link

10.1016/j.jbef.2022.100692

ISSN

2214-6350

Publisher

Elsevier BV

First Page

100692

Last Page

100692

Disciplines

Business

Keywords

Return connectedness, COVID-19, Non-fungible tokens, NFT spillover

Scopus ID

85132920438

Recommended Citation

Umar, Zaghum; Alwahedi, Wafa; Zaremba, Adam; and Vo, Xuan Vinh, "Return and volatility connectedness of the non-fungible tokens segments" (2022). All Works. 5193.
https://zuscholars.zu.ac.ae/works/5193

Indexed in Scopus

yes

Open Access

no