Modelling the Volatility of NFTs and Traditional Financial Assets using MGARCH Family Models | ||
| مجلة البحوث التجارية | ||
| Article 27, Volume 46, Issue 3, July 2024, Pages 104-141 PDF (780.53 K) | ||
| Document Type: تجاریة کل ما یتعلق بالعلوم التجاریة | ||
| DOI: 10.21608/zcom.2024.291795.1343 | ||
| Author | ||
| NANCY YOUSSEF* | ||
| School of Management and Technology, Arab Academy for Science, Technology & Maritime Transport (AAST), | ||
| Abstract | ||
| This paper examines the efficiency and asymmetric multiracial features of NFTs (Mana, Tezos), and traditional assets (EGX30, Oil index) using Asymmetric Multiracial Cross-Correlations Analysis covering the period from January 2020 to May 2021. Considering the full sample with a significant variation among asset classes. (Oil-Tezos)and (Mana-Tezos) is the most efficient. Since their inception, the blockchain-based digital asset classes have received immense interest from investors and portfolio managers as an alternative investment platform. Along with other established traditional cryptocurrencies such as Bitcoin, Litecoin, Ripple, and Ethereum, new blockchain asset classes such as Decentralized Finance (DeFi) and Non-Fungible Tokens (NFTs) have made a considerable contribution tothe asset market’s recent expansion (Aharon & Demir, 2021; Alam, Chowdhury, Abdullah, & Masih, 2023; Maouchi, Charfeddine, & el Montasser, 2021; Yousaf & Yarovaya, 2022).Fundamentally, NFTs and DeFi differ from traditional cryptocurrencies as they are not virtual currency. Where NFTs are non-transferable cryptographic digital assetscreated by Ethereum smart contracts and can be sold and traded, the interchangeability of NFTs when comparing the other cryptocurrencies is very low (Karim, Lucey, Naeem, & Uddin, 2022; Q. Wang, Li, Wang, & Chen, 2021; Y. Wang, 2022).The NFTs and DeFi are relatively contemporary and unexplored asset classes, but their market capitalization has grown substantially as risk minimizing assets, particularly during the COVID-19 period. In the NFT space, the Keywords Volatility, NFTs, Traditional Financial Assets, and MGARCH | ||
| Keywords | ||
| Volatility; NFTs; Traditional Financial Assets; and MGARCH | ||
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