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

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Authors
Umar, Zaghum
Abrar, Afsheen
Zaremba, Adam
Teplova, Tamara
Vo, Xuan Vinh
Date
2022
Journal Title
Journal ISSN
Volume Title
Publisher
Elsevier
License
Creative Commons License
Creative Commons Attribution 4.0 International License
Abstract
We study the relationship of return and volatility of non-fungible tokens (NFT) segments and media coverage during the outbreak of the COVID-19 pandemic in a connectedness framework. We document media coverage as a net transmitter of spillover for both the return and volatility of NFT segments. We find that NFTs representing the utilities segment are a major transmitter of spillover. Our findings have important implications for portfolio managers, regulators, and policy makers.
Description
Keywords
connectedness  COVID-19  non-fungible tokens  spillover  media sentiment
Citation
Umar, Z., Abrar, A., Zaremba, A., Teplova, T., & Vo, X. V. (2022). The return and volatility connectedness of NFT segments and media coverage: fresh evidence based on news about the COVID-19 pandemic. Finance Research Letters, 49, 103031. https://doi.org/10.1016/j.frl.2022.103031.
URI
https://open.icm.edu.pl/handle/123456789/22675
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