Extreme Quantile and Network Dependence Among Stablecoins, Non-Fungible Tokens, and the New Decentralized Financial Assets

10 Pages Posted: 12 Jul 2022

See all articles by Oluwasegun Adekoya

Oluwasegun Adekoya

School of Economics, University of Maine

Johnson A. Oliyide

Abeokuta Federal University of Agriculture (UNAAB) - Department of Economics

Oluwademilade Tobi Kenku

affiliation not provided to SSRN

Mamdouh Abdulaziz Saleh Al-Faryan

University of Portsmouth - Faculty of Business - Department of Economics

Abstract

In this paper, we put the extreme quantile and network connectedness among stablecoins, NFTs, and the new DeFis to empirical scrutiny using the newly proposed methodology of Ando et al. (2022). We find that connectedness is stronger at the extreme market states than at the normal market state. Moreover, unexpected positive shocks have a higher spillover impact than the unexpected negative shocks. The network analysis further shows that the pair-wise connectedness among the assets is moderate at the median quantile, whereas the assets are more vulnerable at the extreme upper quantile and less so at the extreme lower quantile.

Keywords: Stablecoins, NFTs, DeFis, Extreme quantile dependence, Network analysis

Suggested Citation

Adekoya, Oluwasegun and Oliyide, Johnson A. and Kenku, Oluwademilade Tobi and Al-Faryan, Mamdouh Abdulaziz Saleh, Extreme Quantile and Network Dependence Among Stablecoins, Non-Fungible Tokens, and the New Decentralized Financial Assets. Available at SSRN: https://ssrn.com/abstract=4160814

Oluwasegun Adekoya (Contact Author)

School of Economics, University of Maine ( email )

Orono, MA 04469
Nigeria

Johnson A. Oliyide

Abeokuta Federal University of Agriculture (UNAAB) - Department of Economics ( email )

Oluwademilade Tobi Kenku

affiliation not provided to SSRN ( email )

No Address Available

Mamdouh Abdulaziz Saleh Al-Faryan

University of Portsmouth - Faculty of Business - Department of Economics ( email )

Faculty of Business and Law, University of Portsmo
Richmond Building, Portland Street
Portsmouth, PO1 3DE
United Kingdom

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