The economic value of NFT: Evidence from a portfolio analysis using mean-variance framework
- Authors
- Ko, Hyungjin; Son, Bumho; Lee, Yunyoung; Jang, Huisu; Lee, Jaewook
- Issue Date
- Jun-2022
- Publisher
- ACADEMIC PRESS INC ELSEVIER SCIENCE
- Keywords
- Non-fungible tokens; Portfolio analysis; Mean-variance framework; The diversification effect
- Citation
- FINANCE RESEARCH LETTERS, v.47
- Journal Title
- FINANCE RESEARCH LETTERS
- Volume
- 47
- URI
- https://scholarworks.bwise.kr/cau/handle/2019.sw.cau/72030
- DOI
- 10.1016/j.frl.2022.102784
- ISSN
- 1544-6123
1544-6131
- 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.
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Collections - College of Business & Economics > School of Business Administration > 1. Journal Articles
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