Do returns and volatility spillovers exist across tech stocks, cryptocurrencies and NFTs?

Sivaprasad, S., Bas, T. and Malki, I. 2024. Do returns and volatility spillovers exist across tech stocks, cryptocurrencies and NFTs? Heliyon. 10 (2) e24615. https://doi.org/10.1016/j.heliyon.2024.e24615

TitleDo returns and volatility spillovers exist across tech stocks, cryptocurrencies and NFTs?
TypeJournal article
AuthorsSivaprasad, S., Bas, T. and Malki, I.
Abstract

This study examines the connectedness between technology stocks, cryptocurrencies, and non-fungible tokens (NFTs) using daily returns and risk data. We found that while there is strong connectedness within asset classes, connectedness between different types of assets is weak.
Structural breaks in the VAR system did not change the degree of connectedness. Our findings suggest that interconnectivity between these assets is not significant enough to indicate a high level of correlation. This research provides valuable insights into the interplay between these
markets and suggests diversifying portfolios to mitigate risks associated with these assets.

KeywordsConnectedness
Structural Breaks
VAR models
Cryptocurrencies
NFTs
Tech Stocks
Article numbere24615
JournalHeliyon
Journal citation10 (2)
ISSN2405-8440
Year2024
PublisherElsevier
Publisher's version
License
CC BY-NC-ND 4.0
File Access Level
Open (open metadata and files)
Digital Object Identifier (DOI)https://doi.org/10.1016/j.heliyon.2024.e24615
PubMed ID38312666
Publication dates
Published12 Jan 2024

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