Connectedness of non-fungible tokens and conventional cryptocurrencies with metals
Author
Abstract
Suggested Citation
DOI: 10.1016/j.najef.2023.101995
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Mensi, Walid & Sensoy, Ahmet & Aslan, Aylin & Kang, Sang Hoon, 2019. "High-frequency asymmetric volatility connectedness between Bitcoin and major precious metals markets," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
- Katsiampa, Paraskevi & Corbet, Shaen & Lucey, Brian, 2019. "High frequency volatility co-movements in cryptocurrency markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 62(C), pages 35-52.
- Kroner, Kenneth F & Ng, Victor K, 1998. "Modeling Asymmetric Comovements of Asset Returns," The Review of Financial Studies, Society for Financial Studies, vol. 11(4), pages 817-844.
- Wang, Jying-Nan & Lee, Yen-Hsien & Liu, Hung-Chun & Hsu, Yuan-Teng, 2023. "Dissecting returns of non-fungible tokens (NFTs): Evidence from CryptoPunks," The North American Journal of Economics and Finance, Elsevier, vol. 65(C).
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Abrar, Afsheen & Naeem, Muhammad Abubakr & Karim, Sitara & Lucey, Brian M. & Vigne, Samuel A., 2024. "Shining in or fading out: Do precious metals sparkle for cryptocurrencies?," Resources Policy, Elsevier, vol. 90(C).
- Elie Bouri & Matteo Foglia & Sayar Karmakar & Rangan Gupta, 2024. "Return-Volatility Nexus in the Digital Asset Class: A Dynamic Multilayer Connectedness Analysis," Working Papers 202432, University of Pretoria, Department of Economics.
- Nagl, Maximilian, 2024. "Intricacy of cryptocurrency returns," Economics Letters, Elsevier, vol. 239(C).
- John Kingsley Woode & Anokye M. Adam & Peterson Owusu Junior & Anthony Adu-Asare Idun, 2024. "Industrial metal and cryptocurrency market plummets: Interdependence, policy uncertainty, or investor sentiments?," Economia e Politica Industriale: Journal of Industrial and Business Economics, Springer;Associazione Amici di Economia e Politica Industriale, vol. 51(4), pages 1001-1040, December.
- Patel, Ritesh & Gubareva, Mariya & Chishti, Muhammad Zubair, 2024. "Assessing the connectedness between cryptocurrency environment attention index and green cryptos, energy cryptos, and green financial assets," Research in International Business and Finance, Elsevier, vol. 70(PA).
- Okorie, David Iheke & Bouri, Elie & Mazur, Mieszko, 2024. "NFTs versus conventional cryptocurrencies: A comparative analysis of market efficiency around COVID-19 and the Russia-Ukraine conflict," The Quarterly Review of Economics and Finance, Elsevier, vol. 95(C), pages 126-151.
- Yousaf, Imran & Pham, Linh & Goodell, John W., 2024. "Dynamic spillovers between leading cryptocurrencies and derivatives tokens: Insights from a quantile VAR approach," International Review of Financial Analysis, Elsevier, vol. 94(C).
- Al-Omoush, Khaled Saleh & Gomez-Olmedo, Ana M. & Funes, Andrés Gómez, 2024. "Why do people choose to continue using cryptocurrencies?," Technological Forecasting and Social Change, Elsevier, vol. 200(C).
- Ali, Shoaib & Umar, Muhammad & Gubareva, Mariya & Vo, Xuan Vinh, 2024. "Extreme connectedness between NFTs and US equity market: A sectoral analysis," International Review of Economics & Finance, Elsevier, vol. 91(C), pages 299-315.
- Ghosh, Bikramaditya & Pham, Linh & Gubareva, Mariya & Teplova, Tamara, 2023. "Energy transition metals and global sentiment: Evidence from extreme quantiles," Resources Policy, Elsevier, vol. 86(PA).
- Mensi, Walid & Gubareva, Mariya & Kang, Sang Hoon, 2024. "Frequency connectedness between DeFi and cryptocurrency markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 93(C), pages 12-27.
- Abakah, Emmanuel Joel Aikins & Hossain, Sahib & Abdullah, Mohammad & Goodell, John W., 2024. "Global uncertainty factors and price connectedness between US electricity and blockchain markets: Findings from an R-square connectedness approach," Finance Research Letters, Elsevier, vol. 59(C).
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Mensi, Walid & Al-Yahyaee, Khamis Hamed & Al-Jarrah, Idries Mohammad Wanas & Vo, Xuan Vinh & Kang, Sang Hoon, 2020. "Dynamic volatility transmission and portfolio management across major cryptocurrencies: Evidence from hourly data," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
- Nikolaos A. Kyriazis, 2021. "A Survey on Volatility Fluctuations in the Decentralized Cryptocurrency Financial Assets," JRFM, MDPI, vol. 14(7), pages 1-46, June.
- Kislay Kumar Jha & Dirk G. Baur, 2020. "Regime-Dependent Good and Bad Volatility of Bitcoin," JRFM, MDPI, vol. 13(12), pages 1-16, December.
- Yang, Cai & Wang, Xinyi & Gao, Wang, 2022. "Is Bitcoin a better hedging and safe-haven investment than traditional assets against currencies? Evidence from the time-frequency domain approach," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
- Li, Shi, 2022. "Spillovers between Bitcoin and Meme stocks," Finance Research Letters, Elsevier, vol. 50(C).
- Samitas, Aristeidis & Papathanasiou, Spyros & Koutsokostas, Drosos & Kampouris, Elias, 2022. "Are timber and water investments safe-havens? A volatility spillover approach and portfolio hedging strategies for investors," Finance Research Letters, Elsevier, vol. 47(PA).
- Tian, Tingting & Lai, Kee-hung & Wong, Christina W.Y., 2022. "Connectedness mechanisms in the “Carbon-Commodity-Finance” system: Investment and management policy implications for emerging economies," Energy Policy, Elsevier, vol. 169(C).
- Mensi, Walid & Rehman, Mobeen Ur & Vo, Xuan Vinh & Kang, Sang Hoon, 2024. "Spillovers and multiscale relationships among cryptocurrencies: A portfolio implication using high frequency data," Economic Analysis and Policy, Elsevier, vol. 82(C), pages 449-479.
- Carlos Esparcia & Tarek Fakhfakh & Francisco Jareño & Achraf Ghorbel, 2024. "Dynamic DeFi-G7 stock markets interactions and their potential role in diversifying and hedging strategies," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 10(1), pages 1-26, December.
- Wang, Peijin & Zhang, Hongwei & Yang, Cai & Guo, Yaoqi, 2021. "Time and frequency dynamics of connectedness and hedging performance in global stock markets: Bitcoin versus conventional hedges," Research in International Business and Finance, Elsevier, vol. 58(C).
- Pho, Kim Hung & Ly, Sel & Lu, Richard & Hoang, Thi Hong Van & Wong, Wing-Keung, 2021. "Is Bitcoin a better portfolio diversifier than gold? A copula and sectoral analysis for China," International Review of Financial Analysis, Elsevier, vol. 74(C).
- Ali, Shoaib & Naveed, Muhammad & Yousaf, Imran & Khattak, Muhammad Sualeh, 2024. "From cryptos to consciousness: Dynamics of return and volatility spillover between green cryptocurrencies and G7 markets," Finance Research Letters, Elsevier, vol. 60(C).
- Akhtaruzzaman, Md & Boubaker, Sabri & Sensoy, Ahmet, 2021.
"Financial contagion during COVID–19 crisis,"
Finance Research Letters, Elsevier, vol. 38(C).
- Md Akhtaruzzaman & Sabri Boubaker & Ahmet Sensoy, 2021. "Financial contagion during COVID–19 crisis," Post-Print hal-04455600, HAL.
- Chen, Cathy W.S. & Gerlach, Richard H. & Tai, Amanda P.J., 2008. "Testing for nonlinearity in mean and volatility for heteroskedastic models," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(3), pages 489-499.
- Imran Yousaf & Shoaib Ali & Wing-Keung Wong, 2020. "An Empirical Analysis of the Volatility Spillover Effect between World-Leading and the Asian Stock Markets: Implications for Portfolio Management," JRFM, MDPI, vol. 13(10), pages 1-28, September.
- Duan, Kun & Zhao, Yanqi & Urquhart, Andrew & Huang, Yingying, 2023. "Do clean and dirty cryptocurrencies connect with financial assets differently? The role of economic policy uncertainty," Energy Economics, Elsevier, vol. 127(PA).
- Morema, Kgotso & Bonga-Bonga, Lumengo, 2020. "The impact of oil and gold price fluctuations on the South African equity market: Volatility spillovers and financial policy implications," Resources Policy, Elsevier, vol. 68(C).
- Asai, Manabu & McAleer, Michael, 2015.
"Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance,"
Journal of Econometrics, Elsevier, vol. 189(2), pages 251-262.
- Manabu Asai & Michael McAleer, 2014. "Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance," Documentos de Trabajo del ICAE 2014-05, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- Manabu Asai & Michael McAleer, 2014. "Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance," Tinbergen Institute Discussion Papers 14-037/III, Tinbergen Institute.
- Manabu Asai & Michael McAleer, 2014. "Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance," Working Papers in Economics 14/10, University of Canterbury, Department of Economics and Finance.
- Evrim Mandacı, Pınar & Cagli, Efe Çaglar & Taşkın, Dilvin, 2020. "Dynamic connectedness and portfolio strategies: Energy and metal markets," Resources Policy, Elsevier, vol. 68(C).
- Lee, Hsiang-Tai, 2022. "Regime-switching angular correlation diversification," Finance Research Letters, Elsevier, vol. 50(C).
More about this item
Keywords
Non-fungible tokens (NFTs); Cryptocurrencies; Static and dynamic connectedness; Return and volatility spillovers; Precious and non-precious metals; COVID-19; Optimal weights and hedge ratios;All these keywords.
JEL classification:
- F3 - International Economics - - International Finance
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:ecofin:v:68:y:2023:i:c:s1062940823001183. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/inca/620163 .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.