Dependence structure between NFT, DeFi and cryptocurrencies in turbulent times: An Archimax copula approach

Identifier:  imarina:9366484

Handle: https://hdl.handle.net/20.500.11797/imarina9366484

Authors:  Fakhfekh, M; Bejaoui, A; Bariviera, AF; Jeribi, A

Abstract:
This paper investigates the connectedness among eighteen cryptocurrency assets including NFT, DeFi, gold -backed cryptocurrencies, and traditional cryptocurrencies. We also compute the Optimal hedge ratio for each pair of (gold -backed) cryptocurrency-NFT/DeFi and assess their hedge effectiveness. To this end, we use a combination of econometric methods. Our sample period goes from 01/11/2021 to 21/02/2023, making the empirical analysis insightful and interesting as it includes the Covid-19 health crisis and the Russia-Ukraine war. Our empirical findings highlight the dissimilarities between different cryptocurrencies in terms of connectedness with NFT/DeFi assets. They also reflect the diversification benefits generated by the inclusion of gold -backed cryptocurrencies into NFT/DeFi portfolios, in particular in times of unprecedented events. These findings could be useful for crypto-investors who search to diversify their portfolios.