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

作　　者：Waild Mensi Mariya Gubareva Khamis Hamed Al-Yahyaee Tamara Teplova Sang Hoon Kang 

机构地区：[1]Department of Economics and Finance,College of Economics and Political Science,Sultan Qaboos University,Muscat,Oman [2]Department of Finance and Accounting,University of Tunis El Manar and IFGT,Tunis,Tunisia [3]Lisbon School of Economics and Management(ISEG),Research Centre in Economic and Organisational Sociology(SOCIUS)/Research in Social Sciences and Management(CSG),Universidade de Lisboa,Rua Miguel Lupi,20,Lisbon,Portugal [4]Muscat University,Al Ghubrah North,Muscat,Oman [5]National Research University Higher School of Economics/HSE University,Pokrovsky Blv.11,Moscow,Russian Federation,109028 [6]School of Business,Pusan National University,Jangjeon2-Dong,Geumjeong-Gu,Busan,46241,Republic of Korea [7]UniSA Business School,University of South Australia,Adelaide,Australia

出　　处：《Financial Innovation》2024年第1期1604-1630,共27页金融创新(英文)

基　　金：supported by the Ministry of Education of the Republic of Korea and the National Research Foundation of Korea(NRF-2022S1A5A2A01038422);partly funded by the University of Economics Ho Chi Minh City,Vietnam.

摘　　要：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.

关 键 词：Cryptocurrencies Nonfungible tokens Extreme quantile connectedness Time-varying parameter vector autoregression TVP-VAR approach 

分 类 号：F41[经济管理—产业经济]