Examining the interrelatedness of NFTs, DeFi tokens and cryptocurrencies

Sitara Karim, Brian M. Lucey, Muhammad Abubakr Naeem, Gazi Salah Uddin

Research output: Contribution to journalArticlepeer-review

174 Citations (Scopus)

Abstract

The high volatility of the blockchain markets has driven the attention of investors and market participants to concentrate on the diversification avenues of NFTs, DeFi Tokens, and Cryptocurrencies. We examined the extreme risk transmission of blockchain markets using the quantile connectedness technique at the median, extreme low, and extreme high volatility conditions. We find significant risk spillovers among blockchain markets with strong disconnection of NFTs. Meanwhile, time-varying features characterized various uneven economic circumstances. Overall, NFTs offer greater diversification avenues with substantial risk-bearing potential among other blockchain markets to shelter the investments and minimize extreme risks.

Original languageEnglish
Article number102696
JournalFinance Research Letters
Volume47
DOIs
Publication statusPublished - Jun 2022
Externally publishedYes

Keywords

  • Blockchain markets
  • Diversification
  • Extreme risk spillovers, Quantile connectedness

ASJC Scopus subject areas

  • Finance

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