Non-fungible tokens and metal markets: time-varying spillovers and portfolio implications

The linkage between the metal market and crypto assets is a topic of concern. Utilizing a novel TVP-VAR framework, this study examines the volatility transmission between NFTs and precious/industrial metals. The results show strong connectivity, with most NFTs being net transmitters, and industrial metals being mostly net spillover recipients. Moreover, the connectivity was affected by the COVID-19 epidemic and the Russia-Ukraine War. Considering the potential reference value that this empirical fact may bring to market participants, this paper divides the time samples and uses the DCC-GARCH t-copula method to analyse the portfolio construction of every sub-sample. The research investigates and compares the hedge ratio, optimal weights, and hedging effectiveness of NFT-industrial metals and NFT-precious metals. These findings can bring potential inspiration to investors, market regulators, and policymakers.