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Do returns and volatility spillovers exist across tech stocks, cryptocurrencies and NFTs?

Tugba Bas,Issam Malki,S. Sivaprasad

2024 · DOI: 10.1016/j.heliyon.2024.e24615
Heliyon · 6 Citations

TLDR

It is found that while there is strong connectedness within asset classes, connectedness between different types of assets is weak and interconnectivity between these assets is not significant enough to indicate a high level of correlation.

Abstract

This study examines the connectedness between technology stocks, cryptocurrencies, and non-fungible tokens (NFTs) using daily returns and risk data. We found that while there is strong connectedness within asset classes, connectedness between different types of assets is weak. Structural breaks in the VAR system did not change the degree of connectedness. Our findings suggest that interconnectivity between these assets is not significant enough to indicate a high level of correlation. This research provides valuable insights into the interplay between these markets and suggests diversifying portfolios to mitigate risks associated with these assets.