Examining the Interrelatedness of NFT’s, DeFi Tokens and Cryptocurrencies

Abstract

The high volatility of the blockchain markets has driven the attention of investors and market participants to concentrate on the diversification avenues of NFTs, DeFis, and Cryptos. We examined the extreme risk transmission of block-chain markets using the quantile connectedness technique at the median›, extreme low, and extreme high volatility conditions. We find significant risk spillovers among block-chain markets with strong disconnection of NFTs. Meanwhile, time-varying features characterized various uneven economic circumstances. Overall, NFTs offer greater diversification avenues with substantial risk-bearing potential among other block-chain markets to shelter the investments and minimize extreme risks.

Keywords: Block-chain markets,diversification, NFTs, extreme risk spillovers, quantile connectedness

JEL Classification: G14, G12