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Tracing the ties that bind: navigating the static and dynamic connectedness between NFTs and equity markets in ASEAN based on QVAR-approach

Author

Listed:
  • Muhammad Naveed

    (Bahria University
    Université Internationale de Rabat)

  • Shoaib Ali

    (Université Internationale de Rabat)

  • Aviral Kumar Tiwari

    (Indian Institute of Management Bodh Gaya)

Abstract

Based on market integration theory, we investigate the static and dynamic connectedness between nonfungible tokens (NFTs) and the Association of Southeast Asian Nations (ASEAN) equity markets using the Quantile Vector Auto Regressive model. We also compute optimal weights and hedge ratios for our variable of interest to establish their diversification and hedging potential. Our analysis infers a moderate level of return transmission at the median quantile, where equity markets evolved as the net recipients of return spillover from the system, while NFTs emerge as key transmitters. In extreme market conditions, transmission between variables is amplified, but the increase is symmetrical across extreme quantiles, suggesting a similar impact. However, the interlinkage among assets is symmetric across conditional quantiles. The dynamic analysis demonstrates that the system integration amplifies during uncertain times (e.g., COVID-19 and the Russia–Ukraine conflict). Our portfolio analysis shows that NFTs provide diversification and hedging in all market conditions. However, the period of turmoil dampened the diversification potential, and hedging became expensive. Our study offers detailed and insightful information about the transmission mechanism and enables the participants of financial markets to diversify and hedge their portfolio.

Suggested Citation

  • Muhammad Naveed & Shoaib Ali & Aviral Kumar Tiwari, 2025. "Tracing the ties that bind: navigating the static and dynamic connectedness between NFTs and equity markets in ASEAN based on QVAR-approach," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 11(1), pages 1-29, December.
    • Handle: RePEc:spr:fininn:v:11:y:2025:i:1:d:10.1186_s40854-024-00718-z
    DOI: 10.1186/s40854-024-00718-z
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    References listed on IDEAS

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    More about this item

    Keywords

    NFT; Stocks; ASEAN region; Connectedness; Portfolio construction; QVAR;
    All these keywords.

    JEL classification:

    • D53 - Microeconomics - - General Equilibrium and Disequilibrium - - - Financial Markets
    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • F42 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - International Policy Coordination and Transmission
    • F02 - International Economics - - General - - - International Economic Order and Integration

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