Applied Economics,
Journal Year:
2024,
Volume and Issue:
unknown, P. 1 - 20
Published: Oct. 15, 2024
Growth
in
digitalization
has
created
a
potential
boost
for
Non-fungible
tokens
(NFTs)
and
decentralized
finance
(DeFis)
assets
the
modern
world.
Therefore,
this
study
aims
to
examine
comovement
between
recently
developed
comprehensive
measure
of
news
sentiment
index
(NSI)
selected
digital
assets.
For
purpose,
we
have
utilized
wavelet
transform,
correlation,
coherence
econometric
model
assess
interdependency
both
time
frequency
sentiments
Our
correlation
covariance
results
suggest
that
almost
all
exhibit
negative
relationship
with
NSI.
Moreover,
confirm
there
is
no
significant
short
medium-term
horizon,
suggesting
NFTs
DeFi
can
be
used
as
hedges
against
Furthermore,
observe
small
patches
NSI
long
term,
which
correspond
initial
days
COVID-19.
assets'
hedging
role
news-driven
uncertainty.
This
finding
provides
essential
information
policymakers,
international
investors,
investment
managers
make
effective
decisions.
Financial Innovation,
Journal Year:
2025,
Volume and Issue:
11(1)
Published: Jan. 2, 2025
Abstract
This
study
examines
the
return
connectedness
between
decentralized
finance
(DeFi)’s
and
Association
of
Southeast
Asian
Nations
(ASEAN)
stock
markets
using
quantile
vector
autoregressive
framework,
which
allows
us
to
investigate
at
conditional
quantiles.
Our
sample
includes
four
major
DeFi’s
six
ASEAN
markets,
spanning
from
March
2018
December
2022.
The
static
results
indicate
a
moderate
level
transmission
system
mean
median
quantile.
propagation
increases
substantially
under
extreme
market
conditions,
establishing
an
asymmetric
across
Despite
being
relatively
new
asset
class,
DeFi
dominates
equity
acts
as
primary
shock
transmitter
in
most
instances.
dynamic
analysis
reveals
that
total
fluctuates
over
time
peaked
during
COVID-19
Russia–Ukraine
conflict
period,
indicating
impact
global
events
on
transmission.
optimal
weight
hedge
ratio
estimated
DCC-GARCH
model
is
beneficial
for
portfolio
construction
risk
management.
rising
trend
pandemic
demonstrates
investors
should
decrease
their
investments
increase
hedging
costs.
Therefore,
managers
readjust
allocation
timely
manner
according
different
states
build
additional
effective
diversification
strategies
avoid
large
losses
reduce
exposure.
Financial Innovation,
Journal Year:
2025,
Volume and Issue:
11(1)
Published: Jan. 9, 2025
Abstract
Based
on
market
integration
theory,
we
investigate
the
static
and
dynamic
connectedness
between
nonfungible
tokens
(NFTs)
Association
of
Southeast
Asian
Nations
(ASEAN)
equity
markets
using
Quantile
Vector
Auto
Regressive
model.
We
also
compute
optimal
weights
hedge
ratios
for
our
variable
interest
to
establish
their
diversification
hedging
potential.
Our
analysis
infers
a
moderate
level
return
transmission
at
median
quantile,
where
evolved
as
net
recipients
spillover
from
system,
while
NFTs
emerge
key
transmitters.
In
extreme
conditions,
variables
is
amplified,
but
increase
symmetrical
across
quantiles,
suggesting
similar
impact.
However,
interlinkage
among
assets
symmetric
conditional
quantiles.
The
demonstrates
that
system
amplifies
during
uncertain
times
(e.g.,
COVID-19
Russia–Ukraine
conflict).
portfolio
shows
provide
in
all
conditions.
period
turmoil
dampened
potential,
became
expensive.
study
offers
detailed
insightful
information
about
mechanism
enables
participants
financial
diversify
portfolio.
Comparative Economic Research Central and Eastern Europe,
Journal Year:
2025,
Volume and Issue:
28(1), P. 21 - 37
Published: March 10, 2025
The
purpose
of
the
paper
is
to
present
results
research
on
potential
inclusion
different
types
crypto
assets,
such
as
Bitcoin,
NFTs
(Non-Fungible
Tokens),
and
DeFi
(Decentralised
Finance),
within
optimal
portfolios
help
reduce
variance
or
increase
returns
compared
equity
investments.
analysis
includes
comparisons
assets
countries,
specifically
Czech
Republic,
Hungary,
Poland.
author
constructs
equity-crypto
in
Markowitz
environment
for
period
from
16
February
2021
8
January
2024,
which
was
adjusted
NFT
data
availability
this
date.
Calculations
are
conducted
under
two
scenarios:
minimizing
portfolio
maximizing
returns.
demonstrates
that
can
be
part
a
well-diversified
portfolio,
primarily
due
their
low
correlation
with
markets
Hungary
important
investors
seeking
diversification
possibilities.
Although
has
been
increasingly
difficult
recently
increasing
coefficients
between
new
asset
classes,
have
created,
offering
creation.
conclusions
drawn
may
also
vital
policymakers
who
should
consider
them
when
formulating
regulations
concerning
systematic
risk.
contributes
value
four
aspects.
1)
including
NFTs,
Bitcoin
stock
creates
benefits
most
portfolios.
This
partially
slightly
higher
but
mostly
because
lower
risk
traditional
markets.
2)
Optimal
shares
differ
depending
involved.
3)
considers
Czech,
Hungarian,
Polish
while
existing
papers
concentrate
American
market.
4)
shows
there
minimal
connections
assets.
