Dynamic connectedness between non-fungible tokens, decentralized finance, and conventional financial assets in a time-frequency framework
- Authors
- Umar, Zaghum; Polat, Onur; Choi, Sun -Yong; Teplova, Tamara
- Issue Date
- Dec-2022
- Publisher
- ELSEVIER
- Keywords
- Non -fungible tokens; Decentralized finance; COVID-19 pandemic; Spillover effects
- Citation
- PACIFIC-BASIN FINANCE JOURNAL, v.76
- Journal Title
- PACIFIC-BASIN FINANCE JOURNAL
- Volume
- 76
- URI
- https://scholarworks.bwise.kr/gachon/handle/2020.sw.gachon/86394
- DOI
- 10.1016/j.pacfin.2022.101876
- ISSN
- 0927-538X
- Abstract
- 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 connect-edness 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.
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