Return and volatility connectedness of the non-fungible tokens segments
Journal of Behavioral and Experimental Finance
; 35, 2022.
Article
in English
| Web of Science | ID: covidwho-2236487
ABSTRACT
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.
Full text:
Available
Collection:
Databases of international organizations
Database:
Web of Science
Language:
English
Journal:
Journal of Behavioral and Experimental Finance
Year:
2022
Document Type:
Article
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