Cited by 274Market Dynamics and VolatilityFinancial Risk and Volatility ModelingCOVID-19 Pandemic Impacts

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NFTs and asset class spillovers: Lessons from the period around the COVID-19 pandemic

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Aharon, David Y., Demir, Ender·2022·Finance Research Letters

DOI 10.1016/j.frl.2021.102515PMC PMC9643051

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Abstract

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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Self-citation
The Role of the Media in Speculative Markets: Evidence from Non-Fungible Tokens (NFTs)Preprint
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Authors: Aharon, D. Y., & Demir, E.
Affiliations: Ono Academic College (IL)
Reykjavík University (IS)
Corresponding author: Demir, Ender
ORCID: Aharon, David Y.
Demir, Ender
Venue: Finance Research Letters
Publisher: Elsevier BV
Published: 2022-06
Volume: 47
Pages: 102515
ISSN: 1544-6123 (ISSN-L)
DOI: 10.1016/j.frl.2021.102515
PMC: PMC9643051
OpenAlex: W3208066366
Cited by: 274
References: 23
Citations by year: 2026: 22 · 2025: 54 · 2024: 57 · 2023: 86 · 2022: 46
FWCI: 37.79
Type: journal article
Language: en
Open access: green
www.ncbi.nlm.nih.gov
Licence: www.elsevier.com/tdm/userlicense/1.0/ (tdm)
www.elsevier.com/legal/tdmrep-license (tdm)
doi.org/10.15223/policy-017 (stm-asf)
doi.org/10.15223/policy-037 (stm-asf)
doi.org/10.15223/policy-012 (stm-asf)
doi.org/10.15223/policy-029 (stm-asf)
doi.org/10.15223/policy-004 (stm-asf)
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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NFTs and asset class spillovers: Lessons from the period around the COVID-19 pandemic

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