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

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  • Zhang, Zhiyuan
  • Sun, Qinglin
  • Ma, Yongfan

Abstract

In this paper, we employ the NARDL model to examine whether non-fungible tokens (NFTs) can act as hedges and safe havens for stocks, bonds, US dollar, gold, crude oil and Bitcoin. In addition to examining whether NFTs can act as hedges for other assets during the full period (January 1, 2018–March 31, 2022), we also study the hedging properties of NFTs during the pre-COVID-19 period and the safe haven properties of NFTs in times of stress after the COVID-19 outbreak. The empirical results show that in the full period, NFTs are hedges for bonds, US dollar and gold on average; in the pre-COVID-19 period, NFTs are hedges for stocks and US dollar on average; in the COVID-19 period, NFTs can act as safe havens for US dollar. Our empirical findings have important implications for investors looking for hedging and safe haven instruments for major asset classes.

Suggested Citation

  • Zhang, Zhiyuan & Sun, Qinglin & Ma, Yongfan, 2022. "The hedge and safe haven properties of non-fungible tokens (NFTs): Evidence from the nonlinear autoregressive distributed lag (NARDL) model," Finance Research Letters, Elsevier, vol. 50(C).
    • Handle: RePEc:eee:finlet:v:50:y:2022:i:c:s1544612322004949
    DOI: 10.1016/j.frl.2022.103315
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    References listed on IDEAS

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    Citations

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    Cited by:

    1. Bejaoui, Azza & Frikha, Wajdi & Jeribi, Ahmed & Bariviera, Aurelio F., 2023. "Connectedness between emerging stock markets, gold, cryptocurrencies, DeFi and NFT: Some new evidence from wavelet analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 619(C).
    2. Koushik Mandal & Radhika Prosad Datta, 2024. "Oil Price Dynamics and Sectoral Indices in India – Pre, Post and during COVID Pandemic: A Comparative Evidence from Wavelet-based Causality and NARDL," International Journal of Economics and Financial Issues, Econjournals, vol. 14(4), pages 18-33, July.
    3. Díaz, Antonio & Esparcia, Carlos & Huélamo, Diego, 2023. "Unveiling the diversification capabilities of carbon markets in NFT portfolios," Finance Research Letters, Elsevier, vol. 58(PD).
    4. BenMabrouk, Houda & Sassi, Syrine & Soltane, Feriel & Abid, Ilyes, 2024. "Connectedness and portfolio hedging between NFTs segments, American stocks and cryptocurrencies Nexus," International Review of Financial Analysis, Elsevier, vol. 91(C).
    5. Deng, Xiang & Xu, Fang, 2024. "Asymmetric effects of international oil prices on China's PPI in different industries——Research based on NARDL model," Energy, Elsevier, vol. 290(C).
    6. Mamidala, Vasanthi & Kumari, Pooja, 2023. "Investigating herding severity in different NFT categories," Finance Research Letters, Elsevier, vol. 58(PB).
    7. Ghosh, Indranil & Alfaro-Cortés, Esteban & Gámez, Matías & García, Noelia, 2023. "Do travel uncertainty and invasion rhetoric spur Metaverse financial asset? – Gauging the role of media influence," Finance Research Letters, Elsevier, vol. 51(C).
    8. Kumar, Anoop S & Padakandla, Steven Raj, 2023. "Do NFTs act as a good hedge and safe haven against Cryptocurrency fluctuations?," Finance Research Letters, Elsevier, vol. 56(C).
    9. Proelss, Juliane & Sévigny, Stéphane & Schweizer, Denis, 2023. "GameFi: The perfect symbiosis of blockchain, tokens, DeFi, and NFTs?," International Review of Financial Analysis, Elsevier, vol. 90(C).

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    More about this item

    Keywords

    Non-fungible tokens; Hedge; Safe haven; NARDL model;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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