NFTs and asset class spillovers: Lessons from the period around the COVID-19 pandemic
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In this paper, we analyze the connectedness between returns for non-fungible tokens (NFTs) and other financial assets (equities, bonds, currencies, gold, oil, Ethereum) during the period from January 2018 to June 2021. By using the Time-Varying Parameter Vector Autoregressions (TVP-VAR) approach, we show that the overall connectedness between the returns for financial assets increased during the COVID-19 period. Our static analysis shows that the behavior of the majority of NFT returns is attributable to endogenous shocks and only a small portion of this variation resulted from the impact of innovation in other assets. The results suggest that NFTs are mainly independent of shocks from common assets classes and even from their close relation, Ethereum. The dynamic analysis across time reveals that during normal times, NFTs act as transmitters of systemic risk to some degree, but during stressful times, their role shifts, and they act as absorbers of risk spillovers. This suggests that NFTs may have diversification benefits during turbulent times, as apparent during the COVID-19 crisis, and especially around the great March 2020 market plunge.
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The distinction between endogenous and exogenous factors was highlighted by [40], and the relevance of endogenous shocks for NFTs' price dynamics (return) was advocated by [41].
“This distinction was clearly highlighted by [40], and the relevance of endogenous shocks for NFTs' price dynamics (namely their return) was strongly advocated for by [41].”
From What Is the Right Price for Non-Fungible Tokens (NFTs)? A Systematic Review of the Current Literature (2025) · cites this paper as [41]
During the pandemic, the overall interdependence increases.
“Both the static and the dynamic analysis reveal that during the pandemic the overall interdependence increases.”
From What Is the Right Price for Non-Fungible Tokens (NFTs)? A Systematic Review of the Current Literature (2025) · cites this paper as [41]
The majority of NFTs' return fluctuations can be attributed to endogenous shocks; only a small percentage is due to the trends of other assets.
“Nevertheless, the majority of NFTs' return fluctuations can be attributed to endogenous shocks; only a small percentage is due to the trends of other assets.”
From What Is the Right Price for Non-Fungible Tokens (NFTs)? A Systematic Review of the Current Literature (2025) · cites this paper as [41]
Ethereum and NFTs exhibit the highest correlation and volatility in the pandemic period.
“Ethereum and NFTs are shown to exhibit the highest correlation and volatility in the pandemic period.”
From What Is the Right Price for Non-Fungible Tokens (NFTs)? A Systematic Review of the Current Literature (2025) · cites this paper as [41]
NFTs do not appear to be correlated with other common assets.
“However, NFTs do not appear to be correlated with other common assets.”
From What Is the Right Price for Non-Fungible Tokens (NFTs)? A Systematic Review of the Current Literature (2025) · cites this paper as [41]
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Self-citationChoi, S. (2023) · Heliyon · doi:10.1016/j.heliyon.2023.e19726 · Cited by 22 · see citing works
A high-frequency data dive into SVB collapse
Aharon, D. Y., & Ali, S. (2023) · Finance research letters · doi:10.1016/j.frl.2023.104823 · Cited by 22 · see citing works
Self-citationBubbles in NFT markets: correlated with cryptocurrencies or sentiment indexes?
Guo, M., Wang, S., & Wei, Y. (2023) · Applied Economics Letters · doi:10.1080/13504851.2023.2275649 · Cited by 21 · see citing works
Investor sentiment and the NFT market: prediction and interpretation of daily NFT sales volume
Теплова, Т. В., Kurkin, A., & Baklanova, V. (2023) · Annals of Operations Research · doi:10.1007/s10479-023-05693-9 · Cited by 21 · see citing works
Time and frequency dynamics between NFT coins and economic uncertainty
Sadorsky, P., & Henriques, I. (2024) · Financial Innovation · doi:10.1186/s40854-023-00565-4 · Cited by 22 · see citing works
Predictors of NFT Prices: An Automated Machine Learning Approach
Alon, I., Bretas, V. P. G., & Katrih, V. (2023) · Journal of Global Information Management · doi:10.4018/jgim.317097 · Cited by 20 · see citing works
How has the relationship between major financial markets changed during the Russia–Ukraine conflict?
Li, P., Zhang, P., Guo, Y., & Li, J. (2024) · Humanities and Social Sciences Communications · doi:10.1057/s41599-024-04231-7 · Cited by 20 · see citing works
NFTs Emergence in Financial Markets and their Correlation with DeFis and Cryptocurrencies
Alawadhi, K. M., & Alshamali, N. (2022) · Applied Economics and Finance · doi:10.11114/aef.v9i1.5444 · Cited by 20 · see citing works
Extreme connectedness between cryptocurrencies and non-fungible tokens: portfolio implications
Mensi, W., Gubareva, M., Al‐Yahyaee, K. H., Теплова, Т. В., & Kang, S. H. (2024) · Financial Innovation · doi:10.1186/s40854-023-00586-z · Cited by 20 · see citing works
Sailing through uncertainty: Shipping's role in financial shock transmission and hedging strategies
Papathanasiou, S., Syriopoulos, T. C., Kenourgios, D. F., & Koutsokostas, D. (2025) · Global Finance Journal · doi:10.1016/j.gfj.2025.101159 · Cited by 19 · see citing works
Dynamic connectedness between COVID-19 news sentiment, capital and commodity markets
Apergis, N., Chatziantoniou, I., & Gabauer, D. (2022) · Applied Economics · doi:10.1080/00036846.2022.2104804 · Cited by 19 · see citing works
Reputational contagion from the Silicon Valley Bank debacle
Ali, S., Naveed, M., Gubareva, M., & Vo, X. V. (2024) · Research in International Business and Finance · doi:10.1016/j.ribaf.2024.102275 · Cited by 19 · see citing works
Assaf, A., Klötzle, M. C., Palazzi, R. B., & Demir, E. (2024) · Research in International Business and Finance · doi:10.1016/j.ribaf.2024.102596 · Cited by 19 · see citing works
Self-citationThe Role of the Media in Speculative Markets: Evidence from Non-Fungible Tokens (NFTs)Preprint
White, J. T., Wilkoff, S., & Yildiz, S. (2022) · SSRN Electronic Journal · doi:10.2139/ssrn.4074154 · Cited by 19 · see citing works
Crude oil, crypto-assets and dependence: the impact of the COVID-19 pandemic
Mzoughi, H., Ghabri, Y., & Guesmi, K. (2022) · International Journal of Energy Sector Management · doi:10.1108/ijesm-10-2021-0016 · Cited by 18 · see citing works
- Authors
- Aharon, D. Y., & Demir, E.
- Affiliations
- Ono Academic College (IL)
- Reykjavík University (IS)
- Corresponding author
- Demir, Ender
- Venue
- Finance Research Letters
- Publisher
- Elsevier BV
- Published
- 2022-06
- Volume
- 47
- Pages
- 102515
- ISSN
- 1544-6123 (ISSN-L)
- PMC
- PMC9643051
- OpenAlex
- W3208066366
- Cited by
- 274
- References
- 23
- Citations by year
- 2026: 22 · 2025: 54 · 2024: 57 · 2023: 86 · 2022: 46 · 2021: 9
- FWCI
- 37.79
- Type
- journal article
- Language
- en
- Open access
- green
- www.ncbi.nlm.nih.gov
- Licence
- Locations
- Finance research letters (publishedVersion)
- PubMed Central (publishedVersion)
- PubMed (publishedVersion)
- RePEc: Research Papers in Economics (submittedVersion)
- Topics
- Social Sciences › Economics, Econometrics and Finance › Economics and Econometrics › Market Dynamics and Volatility
- Social Sciences › Economics, Econometrics and Finance › Finance › Financial Risk and Volatility Modeling
- Social Sciences › Economics, Econometrics and Finance › Economics and Econometrics › COVID-19 Pandemic Impacts
- Keywords
- non-fungible tokens, return connectedness, COVID-19 pandemic, Ethereum, systemic risk, diversification benefits, time-varying connectedness
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