Time-frequency cross-quantile liquidity connectedness of cryptocurrencies, DeFi tokens and NFTs

ABSTRACT

This study measures time-frequency liquidity and investigates the quantile connectedness of cryptocurrencies, decentralized finance, and non-fungible tokens (NFTs). The empirical results reveal that high-liquidity cryptocurrencies and yield-farming tokens are the main net spillover transmitters of low-liquidity cryptocurrencies’ downside networks in the short term. In addition, the connectedness between high-liquidity cryptocurrencies and yield-farming tokens significantly increases in the long-term upside network. Finally, NFTs exhibit substantial risk-bearing abilities.

KEYWORDS:

• Cryptocurrency
• liquidity
• spillovers
• cross-quantile network
• downside and upside

JEL CLASSIFICATION:

• C32
• G11
• G15

Acknowledgements

We would like to express our sincere gratitude to the editor and referees for their constructive comments and suggestions.

Disclosure statement

No potential conflict of interest was reported by the author(s).

Additional information

Funding

This work is partly supported by the National Social Science Fund of China [Grant No. 22BTJ023].