Template-type: ReDif-Paper 1.0
Author-Name: Urom, C.
Author-Name: Ndubuisi, Gideon
Author-workplace-name: RS: GSBE other - not theme-related research, Mt Economic Research Inst on Innov/Techn
Author-Name: Guesmi, K.
Title: Quantile return and volatility connectedness among Non-Fungible Tokens (NFTs)  and (un)conventional asset
Abstract: This paper uses the Quantile Vector-Autoregressive (Q-VAR) connectedness<br/>technique to examine the return and volatility connectedness among NFTs<br/>and (un)conventional assets including cryptocurrency, energy,<br/>technology, equity, precious metals, and fixed income financial assets<br/>across three quantiles corresponding to the normal, bearish, and bullish<br/>market conditions. It also explores the predictive powers of major<br/>macroeconomic and geopolitical indicators on the return and volatility<br/>connectedness across these three market conditions using a linear<br/>regression model. The main findings are as follows. First, the return<br/>and volatility connectedness vary across the market conditions, with the<br/>levels during the bearish and bullish market conditions being higher.<br/>Second, except under the bullish market condition, the total return<br/>connectedness is higher than those of total volatility connectedness.<br/>Third, NFTs are, at best, decoupled from (un)conventional assets during<br/>the normal market condition. Fourth, NFTs is a net return shock<br/>receivers except under the bullish market condition where it is a net<br/>transmitters. However, it is a net volatility shock receiver<br/>irrespective of the market condition. Fifth, during periods of economic<br/>crisis the total return and volatility connectedness rise (decreases)<br/>under the normal and bearish (bullish) market conditions. Finally,<br/>geopolitical risks, business environment conditions, and market and<br/>economic policy uncertainty are important predictors of return and<br/>volatility connectedness, although the predictive strength and direction<br/>vary across market conditions. We discuss the implications of our<br/>findings.
Classification-JEL: g12,g14,c58,g11,q42,q40
Series: UNU-MERIT Working Papers
Creation-Date: 20220503
Number: 2022-017
File-URL: https://cris.maastrichtuniversity.nl/ws/files/106571525/wp2022_017.pdf
File-Format: application/pdf
File-Size: 1786393
Handle: Repec:unm:unumer:2022017
DOI: