Return and volatility connectedness of the non-fungible tokens segments

Non-fungible tokens (NFTs) have garnered attention from investors and the general public. This pioneering study analyzes the connectedness of five NFT segments by employing the TVP-VAR based connectedness approach of Antonakakis et al. (2020) to identify the transmitter and receivers of spillover for both return and volatility of NFT segments. Our results show that Utility NFTs are the main transmitter of spillover, whereas the collectible NFTs are the main recipient of spillover for both return and volatility. Our findings have important implications for both investors and policy makers. (c) 2022 Elsevier B.V. All rights reserved.

Return and volatility connectedness of the non-fungible tokens segments

Non-fungible tokens (NFTs) have garnered attention from investors and the general public. This pioneering study analyzes the connectedness of five NFT segments by employing the TVP-VAR based connectedness approach of Antonakakis et al. (2020) to identify the transmitter and receivers of spillover for both return and volatility of NFT segments. Our results show that Utility NFTs are the main transmitter of spillover, whereas the collectible NFTs are the main recipient of spillover for both return and volatility. Our findings have important implications for both investors and policy makers.

Normal and extreme interactions among nonferrous metal futures: A new quantile-frequency connectedness approach

Nonferrous metal markets are wildly discussed for their ultimate importance in industry production. However, the interactions among major international nonferrous metal futures, especially their extreme connectedness at different time frequencies (horizons), are rarely recognized. This paper investigates the normal and extreme interactions at various time frequencies among twelve major international nonferrous metal futures traded in LME and SHFE by proposing a new quantile-frequency connectedness measurement, which combines the quantile connectedness approach of Ando et al. (2018) and frequency connectedness method of Barunik and Krehlik (2018). The main empirical results show that, firstly, these major nonferrous metal futures maintain very tight total connectedness no matter in normal or extreme conditions, and the extreme left- and right-tail connectedness measures are larger than the one at normal case. Secondly, there is no clear difference between the extreme downside (left-tail) and upside (right-tail) total connectedness in both time and frequency domains. Thirdly, the total and net connectedness effects of these nonferrous metal futures are mainly centered in short-term frequency at both normal and extreme quantiles. Fourthly, the dynamic analysis indicates that the total connectedness among these futures are very stable throughout the data sample, even during the recent COVID-19 pandemic. Finally, these nonferrous metal futures play quite different roles in net connectedness effects across various quantiles and time frequencies.

Covid-19 impact on NFTs and major asset classes interrelations: insights from the wavelet coherence analysis

Non-fungible tokens (NFTs) revolutionize crypto-landscape, becoming popular among investors and general public. This first-ever study of coherence between returns of NFTs and major assets employs the wavelet approach. The pairwise returns coherence between the considered markets grows throughout the Covid-19. Before the pandemic, NFTs lag behind stocks (2017) and bitcoin (2018), while lead gold (2018). We reveal that the returns coherence between NFTs and other assets is high/low for the two-week-plus/below-to-weeks investment horizons. We refine Aharon and Demir´s (2021) findings stating that NFTs absorbed risk during Covid-19 by demonstrating that this conclusion holds only in the short-run for below-two-weeks horizons.

Risk transmissions between bitcoin and traditional financial assets during the COVID-19 era: The role of global uncertainties

This paper examines return and volatility connectedness between Bitcoin, traditional financial assets (Crude Oil, Gold, Stocks, Bonds, and the United States Dollar-USD), and major global uncertainty measures (the Economic Policy Uncertainty-EPU, the Twitter-based Economic Uncertainty-TEU, and the Volatility Index-VIX) from April 29, 2013, to June 30, 2020. To this end, the Time-Varying Parameter Vector Autoregression (TVP-VAR) model, dynamic connectedness approaches, and network analyses are used. The results indicate that total spillover indices reached unprecedented levels during COVID-19 and have remained high since then. The evidence also confirms the high return and volatility spillovers across markets during the COVID-19 era. Regarding the return spillovers, Gold is the centre of the system and demonstrates the safe heaven properties. Bitcoin is a net transmitter of volatility spillovers to other markets, particularly during the COVID-19 period. Furthermore, the causality-in-variance Lagrange Multiplier (LM) and the Fourier LM tests' results confirm a unidirectional volatility transmission from Bitcoin to Gold, Stocks, Bonds, the VIX and Crude Oil. Interestingly the EPU is the only global factor that causes higher volatility in Bitcoin. Several potential implications of the results are also discussed.

Regime specific spillovers across US sectors and the role of oil price volatility

There is a growing literature studying return spillovers between similar assets and assets of different classes during crisis periods. However, less is known about return spillovers across stock sectors under high and low volatility regimes and whether they are affected by oil price volatility. Using daily data from May 10th, 2007 to February 28th, 2020, we first study the return spillovers between US stock sectors under low and high volatility regimes by implementing a Markov regime-switching vector autoregression with exogenous variables model, while considering the Fama-French factors as conditioning variables. Return spillovers under low and high volatility regimes show that the energy sector is the largest transmitter and receiver of spillovers to/from other US equity sectors. Rolling window analysis shows that spillovers intensified since the outbreak of the COVID19 pandemic. Second, we apply linear and non-linear Granger causality tests from oil price volatility to the spillover indices. The results show evidence that oil volatility has a causal impact on the spillover dynamics of US stock sectors and that the impact is particularly strong in the high volatility regime. Although the energy sector is one of the smallest sectors of the US stock market, it plays a large role in the network connectedness of stock sectors. The results are of interest to individual and institutional investors who consider US equity investments and to policymakers.

NFTs and asset class spillovers: Lessons from the period around the COVID-19 pandemic.

In this paper, we analyze the connectedness between returns for non-fungible tokens (NFTs) and other financial assets (equities, bonds, currencies, gold, oil, Ethereum) during the period from January 2018 to June 2021. By using the Time-Varying Parameter Vector Autoregressions (TVP-VAR) approach, we show that the overall connectedness between the returns for financial assets increased during the COVID-19 period. Our static analysis shows that the behavior of the majority of NFT returns is attributable to endogenous shocks and only a small portion of this variation resulted from the impact of innovation in other assets. The results suggest that NFTs are mainly independent of shocks from common assets classes and even from their close relation, Ethereum. The dynamic analysis across time reveals that during normal times, NFTs act as transmitters of systemic risk to some degree, but during stressful times, their role shifts, and they act as absorbers of risk spillovers. This suggests that NFTs may have diversification benefits during turbulent times, as apparent during the COVID-19 crisis, and especially around the great March 2020 market plunge.

Learning from SARS: Return and volatility connectedness in COVID-19.

Using a sample of the G20 countries, we examine the impact of COVID-19 on stock return and volatility connectedness, and whether the connectedness measures behave differently for countries with SARS 2003 experience. We find that both stock return and volatility connectedness increase across the phases of the COVID-19 pandemic which is more pronounced as the severity of the pandemic builds up. However, the degree of connectedness is significantly lower in countries with SARS 2003 death experience. Our results are robust to different measures of COVID-19 severity and controlling for a number of cross-country differences in economic development.