Static and dynamic connectedness between NFTs, Defi and other assets: Portfolio implication

Global Finance Journal - Tập 53 - Trang 100719 - 2022
Imran Yousaf1, Larisa Yarovaya2
1Department of Business Studies, Namal University, Mianwali, Pakistan
2Southampton Business School, University of Southampton, United Kingdom

Tài liệu tham khảo

Aharon, 2021, NFTs and asset class spillovers: Lessons from the period around the COVID-19 pandemic, Financial Research Letters Akyildirim, 2020, The impact of blockchain related name changes on corporate performance, Journal of Corporate Finance, 65, 10.1016/j.jcorpfin.2020.101759 Angerer, 2021, Objective and subjective risks of investing into cryptocurrencies, Finance Research Letters, 40, 10.1016/j.frl.2020.101737 Antonakakis, 2018, Oil volatility, oil and gas firms and portfolio diversification, Energy Economics, 70, 499, 10.1016/j.eneco.2018.01.023 Antonakakis, 2017 Arouri, 2015, World gold prices and stock returns in China: Insights for hedging and diversification strategies, Economic Modelling, 44, 273, 10.1016/j.econmod.2014.10.030 Bouri, 2020, Bitcoin, gold, and commodities as safe havens for stocks: New insight through wavelet analysis, The Quarterly Review of Economics and Finance, 77, 156, 10.1016/j.qref.2020.03.004 Conlon, 2020, Are cryptocurrencies a safe haven for equity markets? An international perspective from the COVID-19 pandemic, Research in International Business and Finance, 54, 10.1016/j.ribaf.2020.101248 Corbet, 2020, Any port in a storm: Cryptocurrency safe-havens during the COVID-19 pandemic, Economics Letters, 194, 10.1016/j.econlet.2020.109377 Corbet, 2018, Exploring the dynamic relationships between cryptocurrencies and other financial assets, Economics Letters, 165, 28, 10.1016/j.econlet.2018.01.004 Corbet, 2019, Cryptocurrencies as a financial asset: A systematic analysis, International Review of Financial Analysis, 62, 182, 10.1016/j.irfa.2018.09.003 Das, 2019, The effect of global crises on stock market correlations: Evidence from scalar regressions via functional data analysis, Structural Change and Economic Dynamics, 50, 132, 10.1016/j.strueco.2019.05.007 Diebold, 2009, Measuring financial asset return and volatility spillovers, with application to global equity markets, The Economic Journal, 119, 158, 10.1111/j.1468-0297.2008.02208.x Diebold, 2012, Better to give than to receive: Predictive directional measurement of volatility spillovers, International Journal of Forecasting, 28, 57, 10.1016/j.ijforecast.2011.02.006 Dowling, 2021, Fertile LAND: Pricing non-fungible tokens, Finance Research Letters, 102096 Dowling, 2021, Is non-fungible token pricing driven by cryptocurrencies?, Finance Research Letters, 102097 Engle, 1995, Multivariate simultaneous generalized ARCH, Econometric Theory, 11, 122, 10.1017/S0266466600009063 Fabozzi, 2002, The legacy of modern portfolio theory, The Journal of Investing, 11, 7, 10.3905/joi.2002.319510 Feng, 2018, Can cryptocurrencies be a safe haven: A tail risk perspective analysis, Applied Economics, 50, 4745, 10.1080/00036846.2018.1466993 Gabauer, 2018, On the transmission mechanism of country-specific and international economic uncertainty spillovers: Evidence from a TVP-VAR connectedness decomposition approach, Economics Letters, 171, 63, 10.1016/j.econlet.2018.07.007 Goodell, 2021, Diversifying equity with cryptocurrencies during COVID-19, International Review of Financial Analysis, 76, 10.1016/j.irfa.2021.101781 Jalal, 2021, A bibliometric review of cryptocurrencies as a financial asset, Technology Analysis & Strategic Management, 1, 10.1080/09537325.2021.1939001 Karim, 2022, Examining the interrelatedness of NFTs, DeFi tokens and cryptocurrencies, Finance Research Letters, 10.1016/j.frl.2022.102696 Koop, 1996, Impulse response analysis in nonlinear multivariate models, Journal of Econometrics, 74, 119, 10.1016/0304-4076(95)01753-4 Korobilis, 2018, Measuring dynamic connectedness with large Bayesian VAR models Kroner, 1998, Modeling asymmetric comovements of asset returns, The Review of Financial Studies, 11, 817, 10.1093/rfs/11.4.817 Kroner, 1993, Time-varying distributions and dynamic hedging with foreign currency futures, Journal of Financial and Quantitative Analysis, 28, 535, 10.2307/2331164 Ku, 2007, On the application of the dynamic conditional correlation model in estimating optimal time-varying hedge ratios, Applied Economics Letters, 14, 503, 10.1080/13504850500447331 Lucey, 2021, The cryptocurrency uncertainty index, Finance Research Letters Maouchi, 2021, Understanding digital bubbles amidst the COVID-19 pandemic: Evidence from DeFi and NFTs, Finance Research Letters, 102584 Mariana, 2021, Are bitcoin and Ethereum safe-havens for stocks during the COVID-19 pandemic?, Finance Research Letters, 38 Melki, 2021, Tracking safe haven properties of cryptocurrencies during the COVID-19 pandemic: A smooth transition approach, Finance Research Letters, 102243 Pesaran, 1998, Generalized impulse response analysis in linear multivariate models, Economics Letters, 58, 17, 10.1016/S0165-1765(97)00214-0 Selmi, 2018, Is bitcoin a hedge, a safe haven or a diversifier for oil price movements? A comparison with gold, Energy Economics, 74, 787, 10.1016/j.eneco.2018.07.007 Shahzad, 2019, Is bitcoin a better safe-haven investment than gold and commodities?, International Review of Financial Analysis, 63, 322, 10.1016/j.irfa.2019.01.002 Shilov, 2021, Evolution of bitcoin as a financial asset, Finance: Theory and Practice, 25, 150 Shu, 2021, The 2021 bitcoin bubbles and crashes—Detection and classification, Stats, 4, 950, 10.3390/stats4040056 Wang, 2019, Is cryptocurrency a hedge or a safe haven for international indices? A comprehensive and dynamic perspective, Finance Research Letters, 31, 1, 10.1016/j.frl.2019.04.031 Yousaf, 2020, Discovering interlinkages between major cryptocurrencies using high-frequency data: New evidence from COVID-19 pandemic, Financial Innovation, 6, 1, 10.1186/s40854-020-00213-1 Zhang, 2017, Forecasting the daily time-varying Beta of European banks during the crisis period: Comparison between GARCH models and the Kalman filter, Journal of Forecasting, 36, 956, 10.1002/for.2442