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, cilt.76, 2022 (SSCI) identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 76
  • Basım Tarihi: 2022
  • Doi Numarası: 10.1016/j.pacfin.2022.101876
  • Dergi Adı: Pacific Basin Finance Journal
  • Derginin Tarandığı İndeksler: Social Sciences Citation Index (SSCI), Scopus, Business Source Elite, Business Source Premier, EconLit
  • Anahtar Kelimeler: COVID-19 pandemic, Decentralized finance, Non-fungible tokens, Spillover effects
  • Bilecik Şeyh Edebali Üniversitesi Adresli: Evet

Özet

© 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.