Please use this identifier to cite or link to this item: https://hdl.handle.net/1959.11/62719
Title: Diversification benefits of NFTs for conventional asset investors: Evidence from CoVaR with higher moments and optimal hedge ratios
Contributor(s): Umar, Zaghum (author); Usman, Muhammad (author); Choi, Sun-Yong (author); Rice, John  (author)orcid 
Publication Date: 2023-04-01
DOI: 10.1016/j.ribaf.2023.101957
Handle Link: https://hdl.handle.net/1959.11/62719
Abstract: 

This study investigates the risk and returns on one of the newest digital asset classes instruments, non-fungible tokens (NFTs), by accounting for tail dependence of higher-order moments and portfolio characteristics. We used a wide range of asset classes, encompassing equites, fixed income securities, and commodities, and document the desirable hedging and portfolio attributes of NFTs by employing Conditional Value-at-Risk (CoVaR) and ∆CoVaRs with various copula functions. We found that NFTs exhibit beneficial investment and hedging attributes under all market conditions, including the Covid-19 pandemic. Our findings have important implications for investors, risk managers, and regulators.

Publication Type: Journal Article
Source of Publication: Research in International Business and Finance, v.65
Publisher: Elsevier Inc
Place of Publication: United States of America
ISSN: 1878-3384
0275-5319
Fields of Research (FoR) 2020: 3507 Strategy, management and organisational behaviour
Peer Reviewed: Yes
HERDC Category Description: C1 Refereed Article in a Scholarly Journal
Appears in Collections:Journal Article
UNE Business School

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