Volatility spillover and connectedness among REITs, NFTs, cryptocurrencies and other assets: Portfolio implications

ABSTRACT

We investigate the return and volatility spillovers among NFTs, REITs, and other major financial assets from January 2019 to November 2022, using connectedness approaches. The findings indicate that total return and volatility connectedness increased during the COVID-19 and the Russia–Ukraine war. REITs partially maintained their historical independence from shocks from other assets, while NFTs emerged as the new portfolio diversifiers. Findings suggest that investors can use REITs or a combination of NFTs, OIL, GOLD, and REITs with other assets to hedge against volatile assets during periods of financial turmoil. These findings have significant implications for heterogeneous market participants aiming to identify optimal portfolio diversifiers.

KEYWORDS:

• NFTs
• COVID-19
• Russia–Ukraine
• REITs
• return and volatility spillover
• connectedness

JEL CLASSIFICATION:

• C5
• F3
• G10
• G15
• R33

Disclosure statement

No potential conflict of interest was reported by the authors.

Notes

1 https://www.reit.com/data-research/reit-market-data/reit-industry-financial-snapshot

2 We also provide a correlation matrix (Table A2) and heatmap in the online appendix, as well as Figures A2 and A3 to visualise better the correlated assets within a dataset and assist in directing readers toward asset classes that matter most.

3 Details of the technical framework for measuring connectedness among financial variables in various frequencies are in Baruník and Křehlík (2018).