The DOI matches its Crossref record; 33 of the 33 references it cites were found in a registry or an index.
Static and dynamic connectedness between NFTs, Defi and other assets: Portfolio implication
Open accessAbstract
The paper examines the return and volatility transmission between NFTs, Defi assets, and other assets (oil, gold, Bitcoin, and S&P 500) using the TVP-VAR framework. The results report weak static return and volatility spillovers between NFTs and Defi assets and selected markets, showing that these new digital assets are still relatively decoupled from traditional asset classes. Bitcoin, oil, and half of the NFTs and Defi assets are net transmitters of return and volatility spillovers, whereas rest of the markets are net recipients of spillovers. Our findings show that the dynamic return and volatility connectedness become higher during the initial phase of the COVID-19 pandemic and the cryptocurrency bubble of 2021. We also compute the static and dynamic optimal weights, hedge ratios, and hedging effectiveness for the portfolios of NFTs/other asset and Defi asset/other asset and show that investors and portfolio managers should consider adding NFTs and Defi assets in their portfolios of gold, oil, and stock markets to achieve diversification benefits.
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Cites
2 retracted
RETRACTED: Cryptocurrencies as a financial asset: A systematic analysis
Corbet, S., Lucey, B., Urquhart, A., & Yarovaya, L. (2019) · International Review of Financial Analysis · doi:10.1016/j.irfa.2018.09.003 · Cited by 1,172
Self-citationRetractedRETRACTED: Is Bitcoin a better safe-haven investment than gold and commodities?
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Better to give than to receive: Predictive directional measurement of volatility spillovers
Diebold, F. X., & Yilmaz, K. (2012) · International Journal of Forecasting · doi:10.1016/j.ijforecast.2011.02.006 · Cited by 5,756
Impulse response analysis in nonlinear multivariate models
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Self-citation
Cited by
Rethinking financial contagion: Information transmission mechanism during the COVID-19 pandemic
Yarovaya, L., Brzeszczyński, J., Goodell, J. W., Lucey, B., & Lau, C. K. M. (2022) · Journal of International Financial Markets, Institutions and Money · doi:10.1016/j.intfin.2022.101589 · Cited by 267
Self-citationAnte, L. (2023) · Economics of Innovation and New Technology · doi:10.1080/10438599.2022.2119564 · Cited by 255
Yousaf, I., & Yarovaya, L. (2022) · Finance Research Letters · doi:10.1016/j.frl.2022.103175 · Cited by 79
Self-citationUrom, C., Ndubuisi, G., & Guesmi, K. (2022) · Finance research letters · doi:10.1016/j.frl.2022.103188 · Cited by 64
Deciphering the world of NFTs: A scholarly review of trends, challenges, and opportunities
Alshater, M. M., Nasrallah, N., Khoury, R., & Joshipura, M. (2025) · Electronic Commerce Research · doi:10.1007/s10660-024-09881-y · Cited by 33
Metadata
- Authors
- Yousaf, I., & Yarovaya, L.
- Venue
- Global Finance Journal
- Publisher
- Elsevier BV
- Published
- 2022-08
- Volume
- 53
- Pages
- 100719
- ISSN
- 1044-0283 (ISSN-L)
- OpenAlex
- W4220790190
- Cited by
- 313
- References
- 33
- FWCI
- 42.36
- Type
- journal article
- Language
- en
- Open access
- green
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Data sources
Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
