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Risk contagion of NFT: A time-frequency risk spillover perspective in the Carbon-NFT-Stock system

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  • Liu, Jiatong
  • Zhu, You
  • Wang, Gang-Jin
  • Xie, Chi
  • Wang, Qilin

Abstract

This paper pioneers exploring the risk contagion attributes of emerging NFT markets, characterized by considerable volatility, through a time-frequency risk spillover lens within the integrated Carbon-NFT-Stock system. Our findings are multifaceted. Firstly, NFT acts as the risk transmitter in extreme upside condition and receiver in extreme downside condition. Secondly, in extreme downside condition, the destructiveness of risk contagion remains unabated in the long term, and major events amplify the total risk spillover. Thirdly, risk spillovers of NFT and EUA are susceptible to crude oil. Fourthly, carbon market regulators should remain vigilant about risks from the US stock market.

Suggested Citation

  • Liu, Jiatong & Zhu, You & Wang, Gang-Jin & Xie, Chi & Wang, Qilin, 2024. "Risk contagion of NFT: A time-frequency risk spillover perspective in the Carbon-NFT-Stock system," Finance Research Letters, Elsevier, vol. 59(C).
    • Handle: RePEc:eee:finlet:v:59:y:2024:i:c:s1544612323011376
    DOI: 10.1016/j.frl.2023.104765
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    Cited by:

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    2. Zhang, Xu & Naeem, Muhammad Abubakr & Du, Yuting & Rauf, Abdul, 2024. "Examining the bidirectional ripple effects in the NFT markets: Risky center or hedging center?," Journal of Behavioral and Experimental Finance, Elsevier, vol. 41(C).

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    More about this item

    Keywords

    Carbon-NFT-Stock system; Time-frequency analysis; Risk contagion; Extreme risk spillover;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • O16 - Economic Development, Innovation, Technological Change, and Growth - - Economic Development - - - Financial Markets; Saving and Capital Investment; Corporate Finance and Governance

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