Brahmana, Rayenda Khresna, Yeap, Xiu Wei, and Lean, Hooi Hooi (2025) Time–Frequency Connectedness Among NFT Assets. Computational Economics, 66. pp. 4987-5013.

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Abstract

This paper explores the evolving dynamics of NFT Assets, focusing on their interdependence within digital asset portfolios. Utilizing a time–frequency connectedness approach, we investigate the direction of return spillovers among five NFT assets and observe that these spillovers change over time. Practically, the purpose is to reveal the portfolio benefits within NFT assets. Our analysis reveals that ENJ and MANA are identified as assets that primarily influence or transmit effects (net transmitter) to other related assets in the NFT ecosystem. DGB, THETA, and WAXP tend to receive or absorb changes from the broader NFT asset dynamics (net receivers). Furthermore, our analysis reveals that short-term shock transmissions predominantly drive asset connectedness, with limited influence from medium and long-term factors. These findings underscore the dynamic nature of NFT assets, highlighting the importance of adopting a flexible portfolio management and risk assessment approach.

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