The Connectedness between Digital Assets and Technology Stocks

The purpose of this study is to examine the connectedness amongst technology stocks, cryptocurrencies and non-fungible tokens (NFTs). Using daily returns and risk data, we apply various connectedness measures to technology stocks, cryptocurrencies, and NFTs over the period 2018 – 2021. We analyse the connectedness by measuring return and volatility spillovers across these assets within a VAR framework. Our findings suggest while there is strong evidence of connectedness within assets belonging to the same asset class, connectedness amongst the assets of different types is estimated to be very weak. Secondly, we also test for the presence of structural breaks (due to exogenous shocks) in the VAR system. There is evidence that these assets have responded to common shocks. This, however, did not change their degree of connectedness, which remained qualitatively the same as in the case of no structural breaks