Examining the interrelatedness of NFTs, DeFi tokens and cryptocurrencies

•We examined the extreme risk transmission of blockchain markets.•Risk spillovers among blockchain markets with strong disconnection of NFTs.•NFTs offer greater diversification avenues with substantial risk-bearing potential among blockchain markets. The high volatility of the blockchain markets has...

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Bibliographic Details
Published inFinance research letters Vol. 47; p. 102696
Main Authors Karim, Sitara, Lucey, Brian M., Naeem, Muhammad Abubakr, Uddin, Gazi Salah
Format Journal Article
LanguageEnglish
Published Elsevier Inc 01.06.2022
Subjects
Blockchain markets
Diversification
Extreme risk spillovers, Quantile connectedness
Blockchain markets
Diversification
Extreme risk spillovers, Quantile connectedness
Quantile connectedness
Extreme risk spillovers
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Summary:•We examined the extreme risk transmission of blockchain markets.•Risk spillovers among blockchain markets with strong disconnection of NFTs.•NFTs offer greater diversification avenues with substantial risk-bearing potential among blockchain markets. The high volatility of the blockchain markets has driven the attention of investors and market participants to concentrate on the diversification avenues of NFTs, DeFi Tokens, and Cryptocurrencies. We examined the extreme risk transmission of blockchain markets using the quantile connectedness technique at the median, extreme low, and extreme high volatility conditions. We find significant risk spillovers among blockchain markets with strong disconnection of NFTs. Meanwhile, time-varying features characterized various uneven economic circumstances. Overall, NFTs offer greater diversification avenues with substantial risk-bearing potential among other blockchain markets to shelter the investments and minimize extreme risks.
ISSN:1544-6123
1544-6131
1544-6131
DOI:10.1016/j.frl.2022.102696