Volatility spillover and connectedness among REITs, NFTs, cryptocurrencies and other assets: Portfolio implications

IF 1.2 4区经济学 Q3 BUSINESS, FINANCE

Investment Analysts Journal Pub Date : 2023-03-27 DOI:10.1080/10293523.2023.2179161

Masudul Alam, M. A. H. Chowdhury, Mohammad Abdullah, Mansur Masih

引用次数: 9

Abstract

ABSTRACT We investigate the return and volatility spillovers among NFTs, REITs, and other major financial assets from January 2019 to November 2022, using connectedness approaches. The findings indicate that total return and volatility connectedness increased during the COVID-19 and the Russia–Ukraine war. REITs partially maintained their historical independence from shocks from other assets, while NFTs emerged as the new portfolio diversifiers. Findings suggest that investors can use REITs or a combination of NFTs, OIL, GOLD, and REITs with other assets to hedge against volatile assets during periods of financial turmoil. These findings have significant implications for heterogeneous market participants aiming to identify optimal portfolio diversifiers.

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REITs、NFT、加密货币和其他资产之间的波动溢出和连通性：投资组合影响

摘要我们使用连通性方法研究了2019年1月至2022年11月NFT、REITs和其他主要金融资产之间的回报和波动溢出。研究结果表明，在新冠肺炎和俄乌战争期间，总回报率和波动性的关联性增加。REITs在一定程度上保持了其历史独立性，不受其他资产冲击，而NFT则成为新的投资组合多样化者。研究结果表明，投资者可以使用REITs或NFT、OIL、GOLD和REITs与其他资产的组合，在金融动荡期间对冲波动性资产。这些发现对旨在确定最佳投资组合多样化者的异质市场参与者具有重要意义。

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

Investment Analysts Journal BUSINESS, FINANCE-

CiteScore

1.90

自引率

11.10%

发文量

期刊介绍： The Investment Analysts Journal is an international, peer-reviewed journal, publishing high-quality, original research three times a year. The journal publishes significant new research in finance and investments and seeks to establish a balance between theoretical and empirical studies. Papers written in any areas of finance, investment, accounting and economics will be considered for publication. All contributions are welcome but are subject to an objective selection procedure to ensure that published articles answer the criteria of scientific objectivity, importance and replicability. Readability and good writing style are important. No articles which have been published or are under review elsewhere will be considered. All submitted manuscripts are subject to initial appraisal by the Editor, and, if found suitable for further consideration, to peer review by independent, anonymous expert referees. All peer review is double blind and submission is via email. Accepted papers will then pass through originality checking software. The editors reserve the right to make the final decision with respect to publication.