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

Umar Z., POLAT O., Choi S., Teplova T.

Pacific Basin Finance Journal, vol.76, 2022 (SSCI) identifier

  • Publication Type: Article / Article
  • Volume: 76
  • Publication Date: 2022
  • Doi Number: 10.1016/j.pacfin.2022.101876
  • Journal Name: Pacific Basin Finance Journal
  • Journal Indexes: Social Sciences Citation Index (SSCI), Scopus, Business Source Elite, Business Source Premier, EconLit
  • Keywords: COVID-19 pandemic, Decentralized finance, Non-fungible tokens, Spillover effects
  • Bilecik Şeyh Edebali University Affiliated: Yes

Abstract

© 2022 Elsevier B.V.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.