Dynamic connectedness between non-fungible tokens, decentralized finance, and conventional financial assets in a time-frequency framework

This study examines how the COVID-19 pandemic has affected the connectedness between non-fungible tokens, decentralized finance coins, traditional financial assets, and cryptocurrencies. We employed a time-varying parameter vector autoregressive based frequency-dependent network connectedness approach to investigate return and volatility spillover effects between assets in time and frequency domains. The findings show that both the returns and volatility spillovers have been significantly affected by the COVID-19 pandemic, and long- and short-term connectedness vary over the course of the pandemic. These findings have implications for investors, portfolio managers, and policymakers regarding their investment strategies, portfolio allocation, and risk monitoring. • We focus on the connectedness between NFT, Defi coins, and financial assets. • We examine the return and volatility spillover effects between them. • Returns and volatility spillovers have been significantly affected by the COVID-19 pandemic. • The long- and short-term connectedness among the volatility of the assets vary over the course • Interdependencies between new digital and other financial assets intensified.