The relationship between trading volume, volatility and returns of Non-Fungible Tokens: evidence from a quantile approach
The relationship between trading volume, volatility and returns of Non-Fungible Tokens: evidence from a quantile approach
This is the first study to examine the quantile connectedness for returns-volume and volatility-volume pairs for the three non-fungible tokens (THETA, Tezos, and Enjin Coin) using the quantile VAR approach. The results report the highest connectedness of volume with returns and volatility in the extreme upper quantile compared to other quantiles, implying the asymmetric connectedness. The spillover effect is observed from volume to returns and volatilities in extreme upper and lower market conditions, whereas opposite direction of spillovers is evident for the selected non-fungible tokens at median quantile. Our findings are useful for investors in predicting the returns and risk of NFTs using trading volume in the extreme market conditions.
Cryptocurrency, NFT blockchains, Non-fungible tokens (NFTs), Quantile spillovers, Trading volume
Yousaf, Imran
4c6ebdab-7527-42b4-986b-94db0f2749e9
Yarovaya, Larisa
2bd189e8-3bad-48b0-9d09-5d96a4132889
1 December 2022
Yousaf, Imran
4c6ebdab-7527-42b4-986b-94db0f2749e9
Yarovaya, Larisa
2bd189e8-3bad-48b0-9d09-5d96a4132889
Yousaf, Imran and Yarovaya, Larisa
(2022)
The relationship between trading volume, volatility and returns of Non-Fungible Tokens: evidence from a quantile approach.
Finance Research Letters, 50, [103175].
(doi:10.1016/j.frl.2022.103175).
Abstract
This is the first study to examine the quantile connectedness for returns-volume and volatility-volume pairs for the three non-fungible tokens (THETA, Tezos, and Enjin Coin) using the quantile VAR approach. The results report the highest connectedness of volume with returns and volatility in the extreme upper quantile compared to other quantiles, implying the asymmetric connectedness. The spillover effect is observed from volume to returns and volatilities in extreme upper and lower market conditions, whereas opposite direction of spillovers is evident for the selected non-fungible tokens at median quantile. Our findings are useful for investors in predicting the returns and risk of NFTs using trading volume in the extreme market conditions.
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Accepted/In Press date: 16 July 2022
e-pub ahead of print date: 18 July 2022
Published date: 1 December 2022
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Publisher Copyright:
© 2022
Keywords:
Cryptocurrency, NFT blockchains, Non-fungible tokens (NFTs), Quantile spillovers, Trading volume
Identifiers
Local EPrints ID: 469925
URI: http://eprints.soton.ac.uk/id/eprint/469925
ISSN: 1544-6123
PURE UUID: 967b084c-c1c0-4b89-a968-ab691b12f54c
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Date deposited: 28 Sep 2022 17:05
Last modified: 17 Mar 2024 03:54
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Author:
Imran Yousaf
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