Covid-19 impact on NFTs and major asset classes interrelations: Insights from the wavelet coherence analysis
Source of Publication
Finance Research Letters
Non-fungible tokens (NFTs) revolutionize crypto-landscape, becoming popular among investors and general public. This first-ever study of coherence between returns of NFTs and major assets employs the wavelet approach. The pairwise returns coherence between the considered markets grows throughout the Covid-19. Before the pandemic, NFTs lag behind stocks (2017) and bitcoin (2018), while lead gold (2018). We reveal that the returns coherence between NFTs and other assets is high/low for the two-week-plus/below-to-weeks investment horizons. We refine Aharon and Demir ' s (2021) findings stating that NFTs absorbed risk during Covid-19 by demonstrating that this conclusion holds only in the short-run for below-two-weeks horizons.
Return connectedness, Covid-19, Non-Fungible Tokens, Spillover
Umar, Zaghum; Gubareva, Mariya; Teplova, Tamara; and Tran, Dang K., "Covid-19 impact on NFTs and major asset classes interrelations: Insights from the wavelet coherence analysis" (2022). All Works. 5215.
Indexed in Scopus
Open Access Type
Bronze: This publication is openly available on the publisher’s website but without an open license