The hedge and safe haven properties of non-fungible tokens (NFTs): Evidence from the nonlinear autoregressive distributed lag (NARDL) model

Zhang, Zhiyuan; Sun, Qinglin; Ma, Yongfan

doi:10.1016/j.frl.2022.103315

Cited by 21 publications

(5 citation statements)

References 4 publications

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“…It is worth noting here that MANA as governance token for the Decentraland economy and DGB as an open-source cryptocurrency spillover into smaller related markets have the capacity and transaction processing speed, and thus, they can be influenced by the spillover effects. This is also supported byZhang et al (2022) who examine the hedging properties of NFTs and find that NFTs act as a hedge and safe haven against US dollar in normal times. Hence, investors in developed countries can take switch between NFTs and stock markets.…”

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confidence: 64%

“…These data were obtained from the Wind database from July 1, 2018, to June 15, 2022, and the length of time is determined by data availability. Following Zhang et al (2022) and Aharon and Demir (2021), we employ the daily average transaction price of NFTs and representative indexes for the DSMs. We pick out the most representative, popular, and comprehensive NFTs and stock markets; therefore for the NFTs market, we use Tezos (XTZ), Enjin Coin (ENJ), Theta (THETA), and Digibyte (DGB) and the Decentraland (MANA) as a fungible token related to NFTs, whereas for stock markets of developed countries, we use the US (SP500), the UK (FTSE), Germany (DAX), Japan (NIKKEI), and China (CHG).…”

Section: Methodsmentioning

confidence: 99%

“…Wilson et al (2021) give significant perception into the marketplace characteristics of NFTs, and Nadini et al (2021) describe quantitatively the marketplace utilizing a lot of empirical tests. As a result of those research, NFTs are gaining increased popularity as an objective tool to estimate pricing efficiency (Baals et al, 2022; Dowling, 2021), their performance and dynamics (Vidal‐Tomás, 2022), and their hedge and safe haven properties (Yousaf & Yarovaya, 2022; Zhang et al, 2022), but research into the NFTs connectedness with different asset classes has been relatively limited.…”

Section: Literature Reviewmentioning

confidence: 99%

“…They show that NFTs could reduce contagion suggesting significant risk diversification benefits. Zhang et al (2022) reveal that NFTs have been regarded as hedges and safe havens of US dollar on average during normal times and COVID‐19 crisis, respectively.…”

Section: Literature Reviewmentioning

confidence: 99%

“…Given this backdrop, our study empirically explores the volatility transmission between NFTs and stock markets in developed countries. There are some recent studies that investigate dynamic volatility spillovers between NFTs volatility and other asset classes, including DeFi, Gold, and S&P500 (Dowling, 2022; Karim et al, 2022; Yousaf & Yarovaya, 2022); oil, currencies, and other commodities (Xia et al, 2022); cryptocurrency markets (Aharon & Demir, 2021; Dowling, 2022; Vidal‐Tomás, 2023a; Zhang et al, 2022); precious and industrial metals (Yousaf et al, 2023); and emerging stock markets (Bejaoui et al, 2023). Our study contributes to the nascent NFTs pricing literature.…”

Section: Introductionmentioning

confidence: 99%

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Exploring the time‐frequency connectedness among non‐fungible tokens and developed stock markets

Hemrit,

Benlagha,

Ben Arous

et al. 2023

Intell Sys Acc Fin Mgmt

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SummaryIn this paper, we examine the connectedness between volatilities for various non‐fungible tokens (NFTs) and developed stock markets during the period from July 1, 2018, to June 15, 2022. With the use of the time‐varying connectedness methods to explore the volatility interdependences among these assets, we find that there is a significant volatility connectedness during Russia's invasion of Ukraine and COVID‐19 periods. Evidence emerging from this study advocates the inclusion of NFTs in developed stock markets for medium and long time periods only. The results also suggest that UK and Germany stock markets are the predominant market of spillover transmission, whereas the XTZ is the top net recipient/transmitter of volatility connectedness shocks. Moreover, Chinese stock market and ENJ offer more diversification gains than others, and the volatility connectedness from US stock market to NFTs is more pronounced in the long‐term than the short‐term. Our research provides some urgent and prominent insights to help investors and policymakers to be aware that NFTs are important hedge assets that should be added to stock portfolios during periods of geopolitical stability and in the post‐pandemic times.

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confidence: 64%

Section: Methodsmentioning

confidence: 99%