Diversification benefits of NFTs for conventional asset investors: Evidence from CoVaR with higher moments and optimal hedge ratios
DC Field | Value | Language |
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dc.contributor.author | Umar, Zaghum | - |
dc.contributor.author | Usman, Muhammad | - |
dc.contributor.author | Choi, Sun -Yong | - |
dc.contributor.author | Rice, John | - |
dc.date.accessioned | 2023-06-11T02:41:30Z | - |
dc.date.available | 2023-06-11T02:41:30Z | - |
dc.date.created | 2023-05-30 | - |
dc.date.issued | 2023-04 | - |
dc.identifier.issn | 0275-5319 | - |
dc.identifier.uri | https://scholarworks.bwise.kr/gachon/handle/2020.sw.gachon/88059 | - |
dc.description.abstract | This study investigates the risk and returns on one of the newest digital asset classes instruments, non-fungible tokens (NFTs), by accounting for tail dependence of higher-order moments and portfolio characteristics. We used a wide range of asset classes, encompassing equites, fixed in- come securities, and commodities, and document the desirable hedging and portfolio attributes of NFTs by employing Conditional Value-at-Risk (CoVaR) and Delta CoVaRs with various copula func- tions. We found that NFTs exhibit beneficial investment and hedging attributes under all market conditions, including the Covid-19 pandemic. Our findings have important implications for in- vestors, risk managers, and regulators. | - |
dc.language | 영어 | - |
dc.language.iso | en | - |
dc.publisher | ELSEVIER | - |
dc.relation.isPartOf | RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE | - |
dc.title | Diversification benefits of NFTs for conventional asset investors: Evidence from CoVaR with higher moments and optimal hedge ratios | - |
dc.type | Article | - |
dc.type.rims | ART | - |
dc.description.journalClass | 1 | - |
dc.identifier.wosid | 000979946700001 | - |
dc.identifier.doi | 10.1016/j.ribaf.2023.101957 | - |
dc.identifier.bibliographicCitation | RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE, v.65 | - |
dc.description.isOpenAccess | N | - |
dc.identifier.scopusid | 2-s2.0-85151664123 | - |
dc.citation.title | RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE | - |
dc.citation.volume | 65 | - |
dc.contributor.affiliatedAuthor | Choi, Sun -Yong | - |
dc.type.docType | Article | - |
dc.subject.keywordAuthor | Non-Fungible Tokens | - |
dc.subject.keywordAuthor | CoVaR | - |
dc.subject.keywordAuthor | Portfolio Choice | - |
dc.subject.keywordAuthor | Systemic risk | - |
dc.subject.keywordAuthor | Higher moments | - |
dc.subject.keywordPlus | SAFE-HAVEN | - |
dc.subject.keywordPlus | STOCK MARKETS | - |
dc.subject.keywordPlus | SYSTEMIC RISK | - |
dc.subject.keywordPlus | OIL | - |
dc.subject.keywordPlus | BITCOIN | - |
dc.subject.keywordPlus | DEPENDENCE | - |
dc.subject.keywordPlus | VOLATILITY | - |
dc.subject.keywordPlus | SPILLOVER | - |
dc.subject.keywordPlus | EXCHANGE | - |
dc.subject.keywordPlus | ENERGY | - |
dc.relation.journalResearchArea | Business & Economics | - |
dc.relation.journalWebOfScienceCategory | Business, Finance | - |
dc.description.journalRegisteredClass | ssci | - |
dc.description.journalRegisteredClass | scopus | - |
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