Aharon David Y, Demir Ender
Faculty of Business Administration, Ono Academic College, Tzahal St 104, Kiryat Ono, Israel.
Department of Business Administration, School of Social Sciences, Reykjavik University, Reykjavik, Iceland.
Financ Res Lett. 2022 Jun;47:102515. doi: 10.1016/j.frl.2021.102515. Epub 2021 Oct 29.
In this paper, we analyze the connectedness between returns for non-fungible tokens (NFTs) and other financial assets (equities, bonds, currencies, gold, oil, Ethereum) during the period from January 2018 to June 2021. By using the Time-Varying Parameter Vector Autoregressions (TVP-VAR) approach, we show that the overall connectedness between the returns for financial assets increased during the COVID-19 period. Our static analysis shows that the behavior of the majority of NFT returns is attributable to endogenous shocks and only a small portion of this variation resulted from the impact of innovation in other assets. The results suggest that NFTs are mainly independent of shocks from common assets classes and even from their close relation, Ethereum. The dynamic analysis across time reveals that during normal times, NFTs act as transmitters of systemic risk to some degree, but during stressful times, their role shifts, and they act as absorbers of risk spillovers. This suggests that NFTs may have diversification benefits during turbulent times, as apparent during the COVID-19 crisis, and especially around the great March 2020 market plunge.
在本文中，我们分析了2018年1月至2021年6月期间非同质化代币（NFT）与其他金融资产（股票、债券、货币、黄金、石油、以太坊）回报之间的关联性。通过使用时变参数向量自回归（TVP-VAR）方法，我们发现金融资产回报之间的整体关联性在新冠疫情期间有所增加。我们的静态分析表明，大多数NFT回报的行为可归因于内生冲击，只有一小部分这种变化是由其他资产创新的影响导致的。结果表明，NFT主要独立于常见资产类别的冲击，甚至独立于其密切相关的以太坊的冲击。跨时间的动态分析表明，在正常时期，NFT在一定程度上充当系统性风险的传播者，但在压力时期，它们的角色发生转变，充当风险溢出的吸收者。这表明，在动荡时期，如新冠疫情危机期间，尤其是在2020年3月市场大幅下跌期间，NFT可能具有多元化益处。
