Dynamic connectedness between non-fungible tokens, decentralized finance, and conventional financial assets in a time-frequency framework

Author First name, Last name, Institution

Zaghum Umar, Zayed UniversityFollow
Onur Polat, Bilecik University; Universitat Politècnica de València
Sun-Yong Choi, Gachon University
Tamara Teplova, National Research University Higher School of Economics

Document Type

Article

Source of Publication

Pacific-Basin Finance Journal

Publication Date

12-1-2022

Abstract

This study examines how the COVID-19 pandemic has affected the connectedness between non-fungible tokens, decentralized finance coins, traditional financial assets, and cryptocurrencies. We employed a time-varying parameter vector autoregressive based frequency-dependent network connectedness approach to investigate return and volatility spillover effects between assets in time and frequency domains. The findings show that both the returns and volatility spillovers have been significantly affected by the COVID-19 pandemic, and long- and short-term connectedness vary over the course of the pandemic. These findings have implications for investors, portfolio managers, and policymakers regarding their investment strategies, portfolio allocation, and risk monitoring.

DOI Link

10.1016/j.pacfin.2022.101876

ISSN

0927-538X

Publisher

Elsevier BV

Volume

76

First Page

101876

Last Page

101876

Disciplines

Business

Keywords

Non-fungible tokens, Decentralized finance, COVID-19 pandemic, Spillover effects

Recommended Citation

Umar, Zaghum; Polat, Onur; Choi, Sun-Yong; and Teplova, Tamara, "Dynamic connectedness between non-fungible tokens, decentralized finance, and conventional financial assets in a time-frequency framework" (2022). All Works. 5455.
https://zuscholars.zu.ac.ae/works/5455

Indexed in Scopus

no

Open Access

no