Examining the interrelatedness of NFTs, DeFi tokens and cryptocurrencies

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

doi:10.1016/j.frl.2022.102696

Examining the interrelatedness of NFTs, DeFi tokens and cryptocurrencies

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

Research output: Contribution to journal › Article › peer-review

229 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 language	English
Article number	102696
Journal	Finance Research Letters
Volume	47
DOIs	https://doi.org/10.1016/j.frl.2022.102696
Publication status	Published - Jun 2022
Externally published	Yes

Keywords

Blockchain markets
Diversification
Extreme risk spillovers, Quantile connectedness

ASJC Scopus subject areas

Finance

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10.1016/j.frl.2022.102696

Cite this

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title = "Examining the interrelatedness of NFTs, DeFi tokens and cryptocurrencies",

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.",

keywords = "Blockchain markets, Diversification, Extreme risk spillovers, Quantile connectedness",

author = "Sitara Karim and Lucey, {Brian M.} and Naeem, {Muhammad Abubakr} and Uddin, {Gazi Salah}",

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year = "2022",

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AU - Karim, Sitara

AU - Lucey, Brian M.

AU - Naeem, Muhammad Abubakr

AU - Uddin, Gazi Salah

PY - 2022/6

Y1 - 2022/6

N2 - 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.

AB - 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.

KW - Blockchain markets

KW - Diversification

KW - Extreme risk spillovers, Quantile connectedness

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Examining the interrelatedness of NFTs, DeFi tokens and cryptocurrencies

Abstract

Keywords

ASJC Scopus subject areas

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