| Popis: |
We explore the volatility spillover dynamics between Non-fungible token coins ( NFTC) and Bitcoin. Towards this, we employ DCC GARCH models on daily returns of Bitcoin along with three NFTCs, namely Decentral land, Theta and Eijin coin from 18-01-2018 to 03-12-2021. Our results show significant return and volatility spillover between NFTCs and Bitcoin. We find that the NFTC market is significantly affected by fluctuations in the Bitcoin market. Based on the results, we advise against the inclusion of NFTCs in a cryptocurrency portfolio JEL Codes: G110, G150, C580 |
