The Return and Volatility Connectedness of NFT Segments and Media Coverage: Fresh Evidence Based on News About the COVID-19 Pandemic

Umar, Zaghum; Abrar, Afsheen; Zaremba, Adam; Теплова, Тамара; Vo, Xuan Vinh

doi:10.1016/j.frl.2022.103031

Cited by 32 publications

(10 citation statements)

References 16 publications

(15 reference statements)

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“…Therefore, it can capture different perspectives from each index. It can also be extended to other financial markets: NFTs that show a significant increase of interest among investors recently (Umar et al ., 2022b, c; Vidal-Tomás, 2022) and fiat currencies (Umar and Gubareva, 2020; Umar et al. , 2021).…”

Section: Conclusion and Future Researchmentioning

confidence: 99%

Are gold and cryptocurrency a safe haven for stocks and bonds? Conventional vs Islamic markets during the COVID-19 pandemic

Widjaja

Gaby

Havidz

2023

EJMBE

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PurposeThis study aims to identify the ability of gold and cryptocurrency (Cryptocurrency Uncertainty Index (UCRY) Price) as safe haven assets (SHA) for stocks and bonds in both conventional (i.e. stock indices and government bonds) and Islamic markets (i.e. Islamic stock indices and Islamic bonds (IB)).Design/methodology/approachThe authors employed the nonadditive panel quantile regression model by Powell (2016). It measured the safe haven characteristics of gold and UCRY Price for stock indices, government bonds, Islamic stocks, and IB under gold circumstances and level of cryptocurrency uncertainty, respectively. The period spanned from 11 March 2020 to 31 December 2021.FindingsThis study discovered three findings, including: (1) gold is a strong safe haven for stocks and bonds in conventional and Islamic markets under bearish conditions; (2) UCRY Price is a strong safe haven for conventional stocks and bonds but only a weak safe haven for Islamic stocks under high crypto uncertainty; and (3) gold offers a safe haven in both emerging and developed countries, while UCRY Price provides a better safe haven in developed than in emerging countries.Practical implicationsGold always wins big for safe haven properties during unstable economy. It can also win over investors who consider shariah compliant products. Therefore, it should be included in an investor's portfolio. Meanwhile, cryptocurrencies are more common for developed countries. Thus, the governments and regulators of emerging countries need to provide more guidance around cryptocurrency so that the societies have better literacy. On top of that, the investors can consider crypto to mitigate risks but with limited safe haven functions.Originality/valueThe originality aspects of this study include: (1) four chosen assets from conventional and Islamic markets altogether (i.e. stock indices, government bonds, Islamic stock indices and IB); (2) indicator countries selected based on the most used and owned cryptocurrencies for the SHA study; and (3) the utilization of UCRY Price as a crypto indicator and a further examination of the SHA study toward four financial assets.

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Section: Conclusion and Future Researchmentioning

confidence: 99%

Are gold and cryptocurrency a safe haven for stocks and bonds? Conventional vs Islamic markets during the COVID-19 pandemic

Widjaja

Gaby

Havidz

2023

EJMBE

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“…Overall, the study of cryptocurrencies considers their interconnectedness with different market segments. This research also explores investor behavior such as happiness (Bouri, Gabauer, et al, 2021) and the influence of media (Umar et al, 2022). Furthermore, the volatility and spillover effects within cryptocurrencies and blockchain-based assets demonstrate the significant role of bitcoin and Ethereum in transmitting shocks throughout the network (Yi et al, 2018).…”

Section: Introductionmentioning

confidence: 99%

“…On the other hand, further studies aggregate individual NFTs into common indices or market segments, such as games and utilities. Umar et al (2022) examined the interconnectedness of NFT indices such as arts, games, and utilities with media coverage. They constructed a media coverage index to test its relationship with the return and volatility of NFT market segments.…”

Section: Introductionmentioning

confidence: 99%

“…Their findings indicate that utilities, along with games, are the main transmitters of shocks in the network. In our approach, we use NFT indices for games, arts, and the metaverse, following the study by Umar et al (2022), as they are net receivers of shocks from utilities and media coverage. Therefore, we select only these three segments to test the hypothesis of their strong connection to market shocks and variations in terms of volatility and return.…”

Section: Introductionmentioning

confidence: 99%

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Are Blockchain-based assets connected to classical markets? Volatility spillover and wavelet analysis

Karoui

Mahjoub

Kammoun

2023

Preprint

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Following the rise of new blockchain-based assets like NFTs and DeFi tokens, alongside the high demand for cryptocurrencies, investors are altering the construction of their portfolios by not just relying on classical strategies in FOREX, stocks, and commodities markets. To highlight the overall risk transmission between the different segment of the markets, we study the connectedness using VAR and TVP-VAR models at various frequencies. We compare the t-variant components across different scales. This approach allows for the investigation of time-frequency dynamics and the identification of patterns and relationships between these assets. The study will utilize historical data and apply wavelet coherence techniques to analyze the co-movements and dependencies at various time scales. The empirical results indicate a strong correlation between DeFi, other cryptocurrencies, and Bitcoin, while NFTs exhibit independence from nearly all segments of the network. The transmission of shocks between markets depends on time and frequency, with most transmission occurring at short-term frequencies. Dynamic transmission is influenced by crises such as the COVID-19 outbreak. Our findings contribute to the literature on blockchain-based assets by examining the transmission of shocks with established markets. These results are significant for investors in managing their portfolios and making informed decisions by considering their holdings in the classical market. JEL Classification: G11; G14 ; C5 ; C58 ; L86 ; G19

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“… 10 Even though, this study uses a model with two time-dummy variables to explore the impact of the COVID-19 pandemic on the interaction issues. As shown in Table 2B , there are still some kinds of literature investigating the impact of the COVID-19 pandemic on the spillover or correlation issues by using RavenPack Coronavirus Media Coverage Index or Ravenpack Coronavirus Panic Index ( 25 , 27 – 32 , 34 ). In addition, Zaremba et al ( 24 ) evaluated the impact of COVID-19 on the term spreads of bonds by using the change in the number of COVID-19 infections.…”

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confidence: 99%

How does the crisis of the COVID-19 pandemic affect the interactions between the stock, oil, gold, currency, and cryptocurrency markets?

Kao

2022

Front. Public Health

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This study examines how the COVID-19 pandemic crisis affects the interactions between the stock, oil, gold, currency, and cryptocurrency markets. The impacts of the COVID-19 pandemic crisis on the optimal asset allocation and optimal hedged strategy are also discussed. Empirical results show that the volatility spillover significantly exists in most of the ten paired markets whereas the return spillover and correlation are significant only for the few paired markets. Moreover, the impact of the COVID-19 pandemic on the return spillover is the greatest followed by the correlation whereas the volatility spillover is not affected by the COVID-19 pandemic. Furthermore, the Quantitative easing (QE) implemented after the COVID-19 pandemic crisis increases the risk-adjusted return for each asset and minimum variance portfolio (MVP) and raises the correlation between two assets. In addition, most of the pairs of assets are not suitable to hedge each other except for a few pairs of assets. Regarding these few pairs of assets, the optimal hedge asset with the fewer hedge cost is accompanied by less risk reduction and vice versa. Finally, the investors should choose the euro to construct a portfolio to achieve risk diversification and to hedge gold or WTI to get the risk reduction. The above findings can help investors and fund managers make a useful investment strategy, optimal asset allocation, and effective hedged strategy. For example, the investors can use the volatility of one market to predict the volatility of another market and they can take a long position during the post-COVID-19 period but they should withdraw capital from the market when the QE tapering is executed.JEL classificationC52; C53; G15.

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The Return and Volatility Connectedness of NFT Segments and Media Coverage: Fresh Evidence Based on News About the COVID-19 Pandemic

Cited by 32 publications

References 16 publications

Are gold and cryptocurrency a safe haven for stocks and bonds? Conventional vs Islamic markets during the COVID-19 pandemic

Are gold and cryptocurrency a safe haven for stocks and bonds? Conventional vs Islamic markets during the COVID-19 pandemic

Are Blockchain-based assets connected to classical markets? Volatility spillover and wavelet analysis

How does the crisis of the COVID-19 pandemic affect the interactions between the stock, oil, gold, currency, and cryptocurrency markets?

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