Volatility spillover and connectedness among REITs, NFTs, cryptocurrencies and other assets: Portfolio implications

Masud Alam; Mohammad Ashraful Ferdous Chowdhury; Mohammad Abdullah; Mansur Masih

doi:10.1080/10293523.2023.2179161

Volatility spillover and connectedness among REITs, NFTs, cryptocurrencies and other assets: Portfolio implications

Masud Alam
, Mohammad Ashraful Ferdous Chowdhury^*
, Mohammad Abdullah
, Mansur Masih

^*Corresponding author for this work

Interdisciplinary Research Center for Finance and Digital Economy

Research output: Contribution to journal › Article › peer-review

43 Scopus citations

Abstract

We investigate the return and volatility spillovers among NFTs, REITs, and other major financial assets from January 2019 to November 2022, using connectedness approaches. The findings indicate that total return and volatility connectedness increased during the COVID-19 and the Russia–Ukraine war. REITs partially maintained their historical independence from shocks from other assets, while NFTs emerged as the new portfolio diversifiers. Findings suggest that investors can use REITs or a combination of NFTs, OIL, GOLD, and REITs with other assets to hedge against volatile assets during periods of financial turmoil. These findings have significant implications for heterogeneous market participants aiming to identify optimal portfolio diversifiers.

Original language	English
Pages (from-to)	83-105
Number of pages	23
Journal	Investment Analysts Journal
Volume	52
Issue number	2
DOIs	https://doi.org/10.1080/10293523.2023.2179161
State	Published - 2023

Bibliographical note

Publisher Copyright:
© 2023 Investment Analysts Society of South Africa.

UN SDGs

This output contributes to the following UN Sustainable Development Goals (SDGs)

SDG 10 Reduced Inequalities

Keywords

COVID-19
NFTs
REITs
Russia–Ukraine
connectedness
return and volatility spillover

ASJC Scopus subject areas

Accounting
Finance
Economics and Econometrics

Access to Document

10.1080/10293523.2023.2179161

Cite this

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title = "Volatility spillover and connectedness among REITs, NFTs, cryptocurrencies and other assets: Portfolio implications",

abstract = "We investigate the return and volatility spillovers among NFTs, REITs, and other major financial assets from January 2019 to November 2022, using connectedness approaches. The findings indicate that total return and volatility connectedness increased during the COVID-19 and the Russia–Ukraine war. REITs partially maintained their historical independence from shocks from other assets, while NFTs emerged as the new portfolio diversifiers. Findings suggest that investors can use REITs or a combination of NFTs, OIL, GOLD, and REITs with other assets to hedge against volatile assets during periods of financial turmoil. These findings have significant implications for heterogeneous market participants aiming to identify optimal portfolio diversifiers.",

keywords = "COVID-19, NFTs, REITs, Russia–Ukraine, connectedness, return and volatility spillover",

author = "Masud Alam and Chowdhury, \{Mohammad Ashraful Ferdous\} and Mohammad Abdullah and Mansur Masih",

note = "Publisher Copyright: {\textcopyright} 2023 Investment Analysts Society of South Africa.",

year = "2023",

doi = "10.1080/10293523.2023.2179161",

language = "English",

volume = "52",

pages = "83--105",

journal = "Investment Analysts Journal",

issn = "1029-3523",

publisher = "Taylor and Francis Ltd.",

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T1 - Volatility spillover and connectedness among REITs, NFTs, cryptocurrencies and other assets

T2 - Portfolio implications

AU - Alam, Masud

AU - Chowdhury, Mohammad Ashraful Ferdous

AU - Abdullah, Mohammad

AU - Masih, Mansur

PY - 2023

Y1 - 2023

N2 - We investigate the return and volatility spillovers among NFTs, REITs, and other major financial assets from January 2019 to November 2022, using connectedness approaches. The findings indicate that total return and volatility connectedness increased during the COVID-19 and the Russia–Ukraine war. REITs partially maintained their historical independence from shocks from other assets, while NFTs emerged as the new portfolio diversifiers. Findings suggest that investors can use REITs or a combination of NFTs, OIL, GOLD, and REITs with other assets to hedge against volatile assets during periods of financial turmoil. These findings have significant implications for heterogeneous market participants aiming to identify optimal portfolio diversifiers.

AB - We investigate the return and volatility spillovers among NFTs, REITs, and other major financial assets from January 2019 to November 2022, using connectedness approaches. The findings indicate that total return and volatility connectedness increased during the COVID-19 and the Russia–Ukraine war. REITs partially maintained their historical independence from shocks from other assets, while NFTs emerged as the new portfolio diversifiers. Findings suggest that investors can use REITs or a combination of NFTs, OIL, GOLD, and REITs with other assets to hedge against volatile assets during periods of financial turmoil. These findings have significant implications for heterogeneous market participants aiming to identify optimal portfolio diversifiers.

KW - COVID-19

KW - NFTs

KW - REITs

KW - Russia–Ukraine

KW - connectedness

KW - return and volatility spillover

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DO - 10.1080/10293523.2023.2179161

M3 - Article

AN - SCOPUS:85151080996

SN - 1029-3523

VL - 52

SP - 83

EP - 105

JO - Investment Analysts Journal

JF - Investment Analysts Journal

IS - 2

ER -

Volatility spillover and connectedness among REITs, NFTs, cryptocurrencies and other assets: Portfolio implications

Abstract

Bibliographical note

UN SDGs

Keywords

ASJC Scopus subject areas

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