Tracing the ties that bind: navigating the static and dynamic connectedness between NFTs and equity markets in ASEAN based on QVAR-approach
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 f...
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| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
SpringerOpen
2025-01-01
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| Series: | Financial Innovation |
| Subjects: | |
| Online Access: | https://doi.org/10.1186/s40854-024-00718-z |
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| Summary: | 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. |
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| ISSN: | 2199-4730 |