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Covid-19 impact on NFTs and major asset classes interrelations: Insights from the wavelet coherence analysis

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  • Umar, Zaghum
  • Gubareva, Mariya
  • Teplova, Tamara
  • Tran, Dang K.

Abstract

Non-fungible tokens (NFTs) revolutionize crypto-landscape, becoming popular among investors and general public. This first-ever study of coherence between returns of NFTs and major assets employs the wavelet approach. The pairwise returns coherence between the considered markets grows throughout the Covid-19. Before the pandemic, NFTs lag behind stocks (2017) and bitcoin (2018), while lead gold (2018). We reveal that the returns coherence between NFTs and other assets is high/low for the two-week-plus/below-to-weeks investment horizons. We refine Aharon and Demir´s (2021) findings stating that NFTs absorbed risk during Covid-19 by demonstrating that this conclusion holds only in the short-run for below-two-weeks horizons.

Suggested Citation

  • Umar, Zaghum & Gubareva, Mariya & Teplova, Tamara & Tran, Dang K., 2022. "Covid-19 impact on NFTs and major asset classes interrelations: Insights from the wavelet coherence analysis," Finance Research Letters, Elsevier, vol. 47(PB).
    • Handle: RePEc:eee:finlet:v:47:y:2022:i:pb:s1544612322000496
    DOI: 10.1016/j.frl.2022.102725
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    References listed on IDEAS

    as
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