This study investigates the static and dynamic return and volatility spillovers between non-fungible tokens (NFTs) and conventional currencies using the time-varying parameter vector autoregressions approach. We reveal that the total connectedness between these markets is weak, implying that investors may increase the diversification benefits of their multicurrency portfolios by adding NFTs. We also find that NFTs are net transmitters of both return and volatility spillovers; however, in the case of return spillovers, the influence of NFTs on conventional currencies is more pronounced than that of volatility shock transmissions. The dynamic exercise reveals that the returns and volatility spillovers vary over time, largely increasing during the onset of the Covid-19 crisis, which deeply affected the relationship between NFTs and the conventional currencies markets. Our findings are useful for currency traders and NFT investors seeking to build effective cross-currency and cross-asset hedge strategies during systemic crises.

中文翻译：

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不可替代代币与传统货币之间的回报和波动性溢出：来自 TVP-VAR 模型的证据

本研究使用时变参数向量自回归方法研究了不可替代代币（NFT）和传统货币之间的静态和动态回报以及波动性溢出。我们发现，这些市场之间的总体联系很弱，这意味着投资者可以通过添加 NFT 来增加其多货币投资组合的多元化收益。我们还发现，NFT 是回报和波动溢出的净传递者；然而，在回报溢出的情况下，NFT 对传统货币的影响比波动性冲击传导更为明显。动态研究表明，回报和波动性溢出效应随着时间的推移而变化，在 Covid-19 危机爆发期间大幅增加，这深刻影响了 NFT 与传统货币市场之间的关系。我们的研究结果对于寻求在系统性危机期间建立有效的跨货币和跨资产对冲策略的货币交易者和 NFT 投资者非常有用。