Exploring the time-frequency connectedness among non-fungible tokens and developed stock markets

Q1 Economics, Econometrics and Finance

Intelligent Systems in Accounting, Finance and Management Pub Date : 2023-11-23 DOI:10.1002/isaf.1544

Wael Hemrit, Noureddine Benlagha, Racha Ben Arous, Mounira Ben Arab

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Abstract

In this paper, we examine the connectedness between volatilities for various non-fungible tokens (NFTs) and developed stock markets during the period from July 1, 2018, to June 15, 2022. With the use of the time-varying connectedness methods to explore the volatility interdependences among these assets, we find that there is a significant volatility connectedness during Russia's invasion of Ukraine and COVID-19 periods. Evidence emerging from this study advocates the inclusion of NFTs in developed stock markets for medium and long time periods only. The results also suggest that UK and Germany stock markets are the predominant market of spillover transmission, whereas the XTZ is the top net recipient/transmitter of volatility connectedness shocks. Moreover, Chinese stock market and ENJ offer more diversification gains than others, and the volatility connectedness from US stock market to NFTs is more pronounced in the long-term than the short-term. Our research provides some urgent and prominent insights to help investors and policymakers to be aware that NFTs are important hedge assets that should be added to stock portfolios during periods of geopolitical stability and in the post-pandemic times.

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探索不可流通代币与发达股票市场之间的时间频率关联性

本文研究了 2018 年 7 月 1 日至 2022 年 6 月 15 日期间各种不可兑换代币（NFT）与发达股票市场波动率之间的关联性。通过使用时变关联度方法探讨这些资产之间的波动性相互依存关系，我们发现在俄罗斯入侵乌克兰和 COVID-19 期间存在显著的波动性关联。本研究得出的证据表明，发达国家的股票市场只应在中长期内纳入 NFT。研究结果还表明，英国和德国股市是溢出传播的主要市场，而 XTZ 则是波动关联性冲击的最大净接受者/传播者。此外，与其他市场相比，中国股市和 ENJ 提供了更多的多样化收益，而从美国股市到 NFTs 的波动关联在长期比短期更为明显。我们的研究提供了一些紧迫而突出的见解，帮助投资者和政策制定者认识到，在地缘政治稳定时期和后疫情时期，NFTs 是重要的避险资产，应将其加入股票投资组合中。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Intelligent Systems in Accounting, Finance and Management Economics, Econometrics and Finance-Finance

CiteScore

6.00

自引率

0.00%

发文量

期刊介绍： Intelligent Systems in Accounting, Finance and Management is a quarterly international journal which publishes original, high quality material dealing with all aspects of intelligent systems as they relate to the fields of accounting, economics, finance, marketing and management. In addition, the journal also is concerned with related emerging technologies, including big data, business intelligence, social media and other technologies. It encourages the development of novel technologies, and the embedding of new and existing technologies into applications of real, practical value. Therefore, implementation issues are of as much concern as development issues. The journal is designed to appeal to academics in the intelligent systems, emerging technologies and business fields, as well as to advanced practitioners who wish to improve the effectiveness, efficiency, or economy of their working practices. A special feature of the journal is the use of two groups of reviewers, those who specialize in intelligent systems work, and also those who specialize in applications areas. Reviewers are asked to address issues of originality and actual or potential impact on research, teaching, or practice in the accounting, finance, or management fields. Authors working on conceptual developments or on laboratory-based explorations of data sets therefore need to address the issue of potential impact at some level in submissions to the journal.