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

This paper uses the Quantile Vector-Autoregressive (Q-VAR) connectednesstechnique to examine the return and volatility connectedness among NFTsand (un)conventional assets including cryptocurrency, energy,technology, equity, precious metals, and fixed income financial assetsacross three quantiles corresponding to the normal, bearish, and bullishmarket conditions. It also explores the predictive powers of majormacroeconomic and geopolitical indicators on the return and volatilityconnectedness across these three market conditions using a linearregression model. The main findings are as follows. First, the returnand volatility connectedness vary across the market conditions, with thelevels during the bearish and bullish market conditions being higher.Second, except under the bullish market condition, the total returnconnectedness is higher than those of total volatility connectedness.Third, NFTs are, at best, decoupled from (un)conventional assets duringthe normal market condition. Fourth, NFTs is a net return shockreceivers except under the bullish market condition where it is a nettransmitters. However, it is a net volatility shock receiverirrespective of the market condition. Fifth, during periods of economiccrisis the total return and volatility connectedness rise (decreases)under the normal and bearish (bullish) market conditions. Finally,geopolitical risks, business environment conditions, and market andeconomic policy uncertainty are important predictors of return andvolatility connectedness, although the predictive strength and directionvary across market conditions. We discuss the implications of ourfindings