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Diversification benefits of NFTs for conventional asset investors: Evidence from CoVaR with higher moments and optimal hedge ratios
Research in International Business and Finance ; 65, 2023.
Article in English | Scopus | ID: covidwho-2305037
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 income securities, and commodities, and document the desirable hedging and portfolio attributes of NFTs by employing Conditional Value-at-Risk (CoVaR) and ∆CoVaRs with various copula functions. 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 investors, risk managers, and regulators. © 2023 Elsevier B.V.
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Full text: Available Collection: Databases of international organizations Database: Scopus Language: English Journal: Research in International Business and Finance Year: 2023 Document Type: Article

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Full text: Available Collection: Databases of international organizations Database: Scopus Language: English Journal: Research in International Business and Finance Year: 2023 Document Type: Article