Diversification benefits of NFTs for conventional asset investors: Evidence from CoVaR with higher moments and optimal hedge ratios
Document Type
Article
Source of Publication
Research in International Business and Finance
Publication Date
4-1-2023
Abstract
This study investigates the risk and returns on one of the newest digital asset classes instruments, non-fungible tokens (NFTs), by accounting for tail dependence of higher-order moments and portfolio characteristics. We used a wide range of asset classes, encompassing equites, fixed income securities, and commodities, and document the desirable hedging and portfolio attributes of NFTs by employing Conditional Value-at-Risk (CoVaR) and ∆CoVaRs with various copula functions. We found that NFTs exhibit beneficial investment and hedging attributes under all market conditions, including the Covid-19 pandemic. Our findings have important implications for investors, risk managers, and regulators.
DOI Link
ISSN
Publisher
Elsevier BV
Volume
65
Disciplines
Business
Keywords
CoVaR, Higher moments, Non-Fungible Tokens, Portfolio Choice, Systemic risk
Scopus ID
Recommended Citation
Umar, Zaghum; Usman, Muhammad; Choi, Sun Yong; and Rice, John, "Diversification benefits of NFTs for conventional asset investors: Evidence from CoVaR with higher moments and optimal hedge ratios" (2023). All Works. 5775.
https://zuscholars.zu.ac.ae/works/5775
Indexed in Scopus
yes
Open Access
no