The economic value of NFT: Evidence from a portfolio analysis using mean–variance framework
We investigate whether the inclusion of NFTs in portfolio investing in traditional assets provides a significant diversification benefit for constructing a well-diversified portfolio. We examine Pearson’s correlation, the Gerber Statistic for co-movement, and the spillover index for volatility trans...
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Published in | Finance research letters Vol. 47; p. 102784 |
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Main Authors | , , , , |
Format | Journal Article |
Language | English |
Published |
Elsevier Inc
01.06.2022
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Subjects | |
Online Access | Get full text |
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Summary: | We investigate whether the inclusion of NFTs in portfolio investing in traditional assets provides a significant diversification benefit for constructing a well-diversified portfolio. We examine Pearson’s correlation, the Gerber Statistic for co-movement, and the spillover index for volatility transmission. Our findings suggest that NFTs are distinct from traditional assets, potentially resulting in portfolio diversification. Using the mean–variance approach, empirical results demonstrate there exist a statistically significant evidence that the inclusion of NFTs improves the performance of equally weighted and tangency portfolio strategies in terms of Sharpe ratio. It confirms that NFTs have a diversification effect on the traditional asset-based portfolios.
•First study of portfolio analysis using traditional assets and NFTs.•We confirmed the diversification effect of NFTs using mean–variance framework.•The inclusion of NFTs improved equally weighted and tangency portfolio in terms of risk-adjusted returns. |
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ISSN: | 1544-6123 1544-6131 |
DOI: | 10.1016/j.frl.2022.102784 |