Return and volatility spillovers between non-fungible tokens and conventional currencies : evidence from the TVP-VAR model

This study investigates the static and dynamic return and volatility spillovers between non-fungible tokens (NFTs) and conventional currencies using the time varying parameter vector autoregressions approach. We reveal that the total connectedness between these markets is weak, implying that investors may increase the diversifcation benefts of their multicurrency portfolios by adding NFTs. We also fnd that NFTs are net transmitters of both return and volatility spillovers; however, in the case of return spillovers, the infuence of NFTs on conventional currencies is more pronounced than that of volatility shock transmissions. The dynamic exercise reveals that the returns and volatility spillovers vary over time, largely increasing during the onset of the Covid-19 crisis, which deeply afected the relationship between NFTs and the conventional currencies markets. Our fndings are useful for currency traders and NFT investors seeking to build efective cross-currency and crossasset hedge strategies during systemic crises.