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Non-fungible tokens (NFTs) revolutionize crypto-landscape, becoming popular among investors and general public. This first-ever study of coherence between returns of NFTs and major assets employs the wavelet approach. The pairwise… Click to show full abstract
Non-fungible tokens (NFTs) revolutionize crypto-landscape, becoming popular among investors and general public. This first-ever study of coherence between returns of NFTs and major assets employs the wavelet approach. The pairwise returns coherence between the considered markets grows throughout the Covid-19. Before the pandemic, NFTs lag behind stocks (2017) and bitcoin (2018), while lead gold (2018). We reveal that the returns coherence between NFTs and other assets is high/low for the two-week-plus/below-to-weeks investment horizons. We refine Aharon and Demir´s (2021) findings stating that NFTs absorbed risk during Covid-19 by demonstrating that this conclusion holds only in the short-run for below-two-weeks horizons.
Journal Title: Finance Research Letters
Year Published: 2022
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