The economic value of NFT: Evidence from a portfolio analysis using mean-variance framework
DC Field | Value | Language |
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dc.contributor.author | Ko, Hyungjin | - |
dc.contributor.author | Son, Bumho | - |
dc.contributor.author | Lee, Yunyoung | - |
dc.contributor.author | Jang, Huisu | - |
dc.contributor.author | Lee, Jaewook | - |
dc.date.accessioned | 2024-02-14T02:30:26Z | - |
dc.date.available | 2024-02-14T02:30:26Z | - |
dc.date.issued | 2022-06 | - |
dc.identifier.issn | 1544-6123 | - |
dc.identifier.issn | 1544-6131 | - |
dc.identifier.uri | https://scholarworks.bwise.kr/cau/handle/2019.sw.cau/72030 | - |
dc.description.abstract | We investigate whether the inclusion of NFTs in portfolio investing in traditional assets provides a significant diversification benefit for constructing a well-diversified portfolio. We examine Pearson's correlation, the Gerber Statistic for co-movement, and the spillover index for volatility transmission. Our findings suggest that NFTs are distinct from traditional assets, potentially resulting in portfolio diversification. Using the mean-variance approach, empirical results demonstrate there exist a statistically significant evidence that the inclusion of NFTs improves the performance of equally weighted and tangency portfolio strategies in terms of Sharpe ratio. It confirms that NFTs have a diversification effect on the traditional asset-based portfolios. | - |
dc.language | 영어 | - |
dc.language.iso | ENG | - |
dc.publisher | ACADEMIC PRESS INC ELSEVIER SCIENCE | - |
dc.title | The economic value of NFT: Evidence from a portfolio analysis using mean-variance framework | - |
dc.type | Article | - |
dc.identifier.doi | 10.1016/j.frl.2022.102784 | - |
dc.identifier.bibliographicCitation | FINANCE RESEARCH LETTERS, v.47 | - |
dc.description.isOpenAccess | N | - |
dc.identifier.wosid | 000821532100002 | - |
dc.identifier.scopusid | 2-s2.0-85127313555 | - |
dc.citation.title | FINANCE RESEARCH LETTERS | - |
dc.citation.volume | 47 | - |
dc.type.docType | Article | - |
dc.publisher.location | 미국 | - |
dc.subject.keywordAuthor | Non-fungible tokens | - |
dc.subject.keywordAuthor | Portfolio analysis | - |
dc.subject.keywordAuthor | Mean-variance framework | - |
dc.subject.keywordAuthor | The diversification effect | - |
dc.subject.keywordPlus | VOLATILITY SPILLOVERS | - |
dc.subject.keywordPlus | RETURN | - |
dc.subject.keywordPlus | CONNECTEDNESS | - |
dc.subject.keywordPlus | UNCERTAINTY | - |
dc.subject.keywordPlus | BITCOIN | - |
dc.relation.journalResearchArea | Business & Economics | - |
dc.relation.journalWebOfScienceCategory | Business, Finance | - |
dc.description.journalRegisteredClass | ssci | - |
dc.description.journalRegisteredClass | scopus | - |
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