Extreme connectedness between cryptocurrencies and non-fungible tokens: portfolio implications

被引：9

作者：

Mensi, Waild ^{[1
,2
,3
]}

Gubareva, Mariya ^{[4
]}

Al-Yahyaee, Khamis Hamed ^{[5
]}

Teplova, Tamara ^{[6
]}

Kang, Sang Hoon ^{[7
,8
]}

机构：

[1] Sultan Qaboos Univ, Coll Econ & Polit Sci, Dept Econ & Finance, Muscat, Oman

[2] Univ Tunis El Manar, Dept Finance & Accounting, Tunis, Tunisia

[3] IFGT, Tunis, Tunisia

[4] Univ Lisbon, Res Ctr Econ & Org Sociol SOCIUS, Lisbon Sch Econ & Management ISEG, Res Social Sci & Management CSG, Rua Miguel Lupi 20, Lisbon, Portugal

[5] Muscat Univ, Muscat, Oman

[6] HSE Univ, Natl Res Univ, Higher Sch Econ, Pokrovsky Blvd 11, Moscow 109028, Russia

[7] Pusan Natl Univ, Sch Business, Jangjeon2 Dong, Pusan 46241, South Korea

[8] Univ South Australia, UniSA Business Sch, Adelaide, Australia

来源：

FINANCIAL INNOVATION | 2024年 / 10卷 / 01期

关键词：

Cryptocurrencies; Nonfungible tokens; Extreme quantile connectedness; Time-varying parameter vector autoregression; TVP-VAR approach; IMPULSE-RESPONSE ANALYSIS; EFFICIENT TESTS;

D O I：

10.1186/s40854-023-00586-z

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We analyze the connectedness between major cryptocurrencies and nonfungible tokens (NFTs) for different quantiles employing a time-varying parameter vector autoregression approach. We find that lower and upper quantile spillovers are higher than those at the median, meaning that connectedness augments at extremes. For normal, bearish, and bullish markets, Bitcoin Cash, Bitcoin, Ethereum, and Litecoin consistently remain net transmitters, while NFTs receive innovations. However, spillover topology at both extremes becomes simpler-from cryptocurrencies to NFTs. We find no markets useful for mitigating BTC risks, whereas BTC is capable of reducing the risk of other digital assets, which is a valuable insight for market players and investors.

引用

页数：27

共 73 条

[51] Asymmetric volatility connectedness among main international stock markets: A high frequency analysis [J].

Mensi, Walid ;

Maitra, Debasish ;

Xuan Vinh Vo ;

Kang, Sang Hoon .

BORSA ISTANBUL REVIEW, 2021, 21 (03) :291-306

[52]

Mensi W, 2021, N AM J ECON FINANC, V56

[53] Automated market makers and decentralized exchanges: a DeFi primer [J].

Mohan, Vijay .

FINANCIAL INNOVATION, 2022, 8 (01)

[54] Asymmetric efficiency in petroleum markets before and during COVID-19 [J].

Naeem, Muhammad Abubakr ;

Farid, Saqib ;

Yousaf, Imran ;

Kang, Sang Hoon .

RESOURCES POLICY, 2023, 86

[55] Bitcoin, currencies, and fragility [J].

Nicholas Taleb, Nassim .

QUANTITATIVE FINANCE, 2021, 21 (08) :1249-1255

[56] Ethical and unethical investments under extreme market conditions [J].

Olofsson, Petter ;

Raholm, Anna ;

Uddin, Gazi Salah ;

Troster, Victor ;

Kang, Sang Hoon .

INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS, 2021, 78

[57] Generalized impulse response analysis in linear multivariate models [J].

Pesaran, HH ;

Shin, Y .

ECONOMICS LETTERS, 1998, 58 (01) :17-29

[58]

Raham ML., 2021, PACIFCI BASIN FINANC, V68, DOI [10.1016/j.pacfin.2021.101586, DOI 10.1016/J.PACFIN.2021.101586]

[59] Immunizing markets against the pandemic: COVID-19 vaccinations and stock volatility around the world [J].

Rouatbi, Wael ;

Demir, Ender ;

Kizys, Renatas ;

Zaremba, Adam .

INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS, 2021, 77

[60] Dynamic spillover effects among green bond, renewable energy stocks and carbon markets during COVID-19 pandemic: Implications for hedging and investments strategies [J].

Tiwari, Aviral Kumar ;

Abakah, Emmanuel Joel Aikins ;

Gabauer, David ;

Dwumfour, Richard Adjei .

GLOBAL FINANCE JOURNAL, 2022, 51

← 1 2 3 4 5 6 7 8 →