Quantile return and volatility connectedness among Non-Fungible Tokens (NFTs) and (un)conventional asset

This paper uses the Quantile Vector-Autoregressive (Q-VAR) connectedness
technique to examine the return and volatility connectedness among NFTs
and (un)conventional assets including cryptocurrency, energy,
technology, equity, precious metals, and fixed income financial assets
across three quantiles corresponding to the normal, bearish, and bullish
market conditions. It also explores the predictive powers of major
macroeconomic and geopolitical indicators on the return and volatility
connectedness across these three market conditions using a linear
regression model. The main findings are as follows. First, the return
and volatility connectedness vary across the market conditions, with the
levels during the bearish and bullish market conditions being higher.
Second, except under the bullish market condition, the total return
connectedness is higher than those of total volatility connectedness.
Third, NFTs are, at best, decoupled from (un)conventional assets during
the normal market condition. Fourth, NFTs is a net return shock
receivers except under the bullish market condition where it is a net
transmitters. However, it is a net volatility shock receiver
irrespective of the market condition. Fifth, during periods of economic
crisis the total return and volatility connectedness rise (decreases)
under the normal and bearish (bullish) market conditions. Finally,
geopolitical risks, business environment conditions, and market and
economic policy uncertainty are important predictors of return and
volatility connectedness, although the predictive strength and direction
vary across market conditions. We discuss the implications of our
findings.