The Return and Volatility Connectedness of NFT Segments and Media Coverage: Fresh Evidence Based on News About the COVID-19 Pandemic

Zaghum Umar; Afsheen Abrar; Adam Zaremba; Tamara Teplova; Xuan Vinh Vo

doi:10.1016/j.frl.2022.103031

The Return and Volatility Connectedness of NFT Segments and Media Coverage: Fresh Evidence Based on News About the COVID-19 Pandemic

Financ Res Lett. 2022 Oct:49:103031. doi: 10.1016/j.frl.2022.103031. Epub 2022 Jun 2.

Authors

Zaghum Umar^{1

2}, Afsheen Abrar³, Adam Zaremba^{4

4

5}, Tamara Teplova⁶, Xuan Vinh Vo²

Affiliations

¹ College of Business, Zayed University, P.O. Box 144534, Abu Dhabi, United Arab Emirates.
² Institute of Business Research, University of Economics Ho Chi Minh City, Ho Chi Minh City, Vietnam.
³ National University of Modern Languages, Islamabad, Pakistan.
⁴ Montpellier Business School, 2300 Avenue des Moulins, 34185 Montpellier cedex 4, France.
⁵ Poznan University of Economics and Business, Institute of Finance, Department of Investment and Financial Markets, al. Niepodległości 10, 61-875 Poznań, Poland.
⁶ National Research University Higher School of Economics, Russian Federation.

Abstract

We study the relationship between return and volatility of non-fungible tokens (NFT) segments and media coverage during the outbreak of the COVID-19 pandemic in a connectedness framework. We document media coverage as a net transmitter of spillover for both the return and volatility of NFT segments. We find that NFTs representing the Utilities segment is a major transmitter of spillover. Our findings have important implications for portfolio managers, regulators, and policymakers.

Keywords: COVID-19; connectedness; media coverage; non-fungible tokens (NFT); spillover.

Publication types

News