加密货币与不可兑换代币之间的极端关联性：投资组合的影响

IF 6.9 1区经济学 Q1 BUSINESS, FINANCE

Financial Innovation Pub Date : 2024-04-08 DOI:10.1186/s40854-023-00586-z

Waild Mensi, Mariya Gubareva, Khamis Hamed Al-Yahyaee, Tamara Teplova, Sang Hoon Kang

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引用次数: 0

摘要

我们采用时变参数向量自回归方法，分析了不同量级的主要加密货币和不可兑换代币（NFT）之间的关联性。我们发现，较低和较高数量级的溢出效应高于中位数，这意味着在极端情况下关联性会增强。在正常市场、熊市和牛市中，比特币现金、比特币、以太坊和莱特币始终是净传播者，而 NFT 则接受创新。然而，两个极端的溢出拓扑结构变得更加简单--从加密货币到 NFT。我们发现，没有任何市场有助于降低 BTC 的风险，而 BTC 却能降低其他数字资产的风险，这对市场参与者和投资者来说是一个宝贵的启示。

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Extreme connectedness between cryptocurrencies and non-fungible tokens: portfolio implications

We analyze the connectedness between major cryptocurrencies and nonfungible tokens (NFTs) for different quantiles employing a time-varying parameter vector autoregression approach. We find that lower and upper quantile spillovers are higher than those at the median, meaning that connectedness augments at extremes. For normal, bearish, and bullish markets, Bitcoin Cash, Bitcoin, Ethereum, and Litecoin consistently remain net transmitters, while NFTs receive innovations. However, spillover topology at both extremes becomes simpler—from cryptocurrencies to NFTs. We find no markets useful for mitigating BTC risks, whereas BTC is capable of reducing the risk of other digital assets, which is a valuable insight for market players and investors.

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来源期刊

Financial Innovation Economics, Econometrics and Finance-Finance

CiteScore

11.40

自引率

11.90%

发文量

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.