不可兑换代币与传统货币之间的收益和波动溢出效应:TVP-VAR 模型提供的证据

IF 6.9 1区 经济学 Q1 BUSINESS, FINANCE
Imran Yousaf, Manel Youssef, Mariya Gubareva
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引用次数: 0

摘要

本研究采用时变参数向量自回归方法,研究了不可兑换代币(NFT)与传统货币之间的静态和动态回报与波动溢出效应。我们发现,这些市场之间的总体关联性较弱,这意味着投资者可以通过增加 NFT 来提高其多货币投资组合的多样化收益。我们还发现,NFT 是回报和波动溢出效应的净传递者;然而,就回报溢出效应而言,NFT 对传统货币的影响比波动冲击传递的影响更为明显。动态分析表明,收益和波动溢出效应随时间而变化,在 "科威德-19 "危机爆发期间,收益和波动溢出效应大幅增加,这深深影响了非金融产品与传统货币市场之间的关系。我们的研究结果对货币交易者和非金融期货投资者在系统性危机期间寻求建立有效的跨货币和跨资产对冲策略很有帮助。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Return and volatility spillovers between non-fungible tokens and conventional currencies: evidence from the TVP-VAR model
This study investigates the static and dynamic return and volatility spillovers between non-fungible tokens (NFTs) and conventional currencies using the time-varying parameter vector autoregressions approach. We reveal that the total connectedness between these markets is weak, implying that investors may increase the diversification benefits of their multicurrency portfolios by adding NFTs. We also find that NFTs are net transmitters of both return and volatility spillovers; however, in the case of return spillovers, the influence of NFTs on conventional currencies is more pronounced than that of volatility shock transmissions. The dynamic exercise reveals that the returns and volatility spillovers vary over time, largely increasing during the onset of the Covid-19 crisis, which deeply affected the relationship between NFTs and the conventional currencies markets. Our findings are useful for currency traders and NFT investors seeking to build effective cross-currency and cross-asset hedge strategies during systemic crises.
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来源期刊
Financial Innovation
Financial Innovation Economics, Econometrics and Finance-Finance
CiteScore
11.40
自引率
11.90%
发文量
95
审稿时长
5 weeks
期刊介绍: Financial Innovation (FIN), a Springer OA journal sponsored by Southwestern University of Finance and Economics, serves as a global academic platform for sharing research findings in all aspects of financial innovation during the electronic business era. It facilitates interactions among researchers, policymakers, and practitioners, focusing on new financial instruments, technologies, markets, and institutions. Emphasizing emerging financial products enabled by disruptive technologies, FIN publishes high-quality academic and practical papers. The journal is peer-reviewed, indexed in SSCI, Scopus, Google Scholar, CNKI, CQVIP, and more.
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