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<p>Understanding volatility transmission in cryptocurrency markets enhances effective risk management and investment decisions. This study examines volatility connectedness among four NFT indices (Theta, Tezos, Enjin Coin, Decentraland), four DeFi tokens (Chainlink, Maker, Basic Attention Token, Synthetix), and two major cryptocurrencies (Bitcoin and Ethereum) from April 11, 2018 to September 26, 2022. Focusing on the pre-FTX period to capture volatility dynamics prior to the structural shifts induced by that event, we employ a quantile-frequency connectedness framework to analyze how volatility shocks propagate across different horizons. This approach allows us to identify which assets are net transmitters or receivers of volatility in the short and long run. Our analysis shows that Ethereum (ETH) is the dominant net transmitter of volatility, especially at short horizons. Enjin Coin (ENJ), Basic Attention Token (BAT), and Tezos (XTZ) also emerge as significant transmitters, whereas Synthetix (SNX), Theta (THETA), and Maker (MKR) tend to be net receivers. The Total Connectedness Index exhibits substantial variation and is largely driven by long-term spillovers, with overall interconnectedness intensifying during extreme market conditions. These findings highlight the need for time- and frequency-aware strategies in portfolio allocation and risk management. Diversification benefits shift with market conditions, suggesting that investors should adopt flexible strategies. Regulators may require adaptive oversight frameworks to address the dynamic, asymmetric linkages among digital assets. By capturing time-varying, state-dependent spillovers with a quantile-frequency connectedness framework, this study provides a novel, multidimensional perspective on digital asset interconnectedness across NFTs, DeFi tokens, and traditional cryptocurrencies—especially during major crises—that prior research has overlooked.</p>

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Are NFTs and DeFi tokens separate asset classes from conventional cryptocurrencies: a quantile time frequency connectedness analysis

  • 期刊论文

  • 发表日期：

    2025年11月17日

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  • Wafa Masmoudi Kammoun

摘要

Understanding volatility transmission in cryptocurrency markets enhances effective risk management and investment decisions. This study examines volatility connectedness among four NFT indices (Theta, Tezos, Enjin Coin, Decentraland), four DeFi tokens (Chainlink, Maker, Basic Attention Token, Synthetix), and two major cryptocurrencies (Bitcoin and Ethereum) from April 11, 2018 to September 26, 2022. Focusing on the pre-FTX period to capture volatility dynamics prior to the structural shifts induced by that event, we employ a quantile-frequency connectedness framework to analyze how volatility shocks propagate across different horizons. This approach allows us to identify which assets are net transmitters or receivers of volatility in the short and long run. Our analysis shows that Ethereum (ETH) is the dominant net transmitter of volatility, especially at short horizons. Enjin Coin (ENJ), Basic Attention Token (BAT), and Tezos (XTZ) also emerge as significant transmitters, whereas Synthetix (SNX), Theta (THETA), and Maker (MKR) tend to be net receivers. The Total Connectedness Index exhibits substantial variation and is largely driven by long-term spillovers, with overall interconnectedness intensifying during extreme market conditions. These findings highlight the need for time- and frequency-aware strategies in portfolio allocation and risk management. Diversification benefits shift with market conditions, suggesting that investors should adopt flexible strategies. Regulators may require adaptive oversight frameworks to address the dynamic, asymmetric linkages among digital assets. By capturing time-varying, state-dependent spillovers with a quantile-frequency connectedness framework, this study provides a novel, multidimensional perspective on digital asset interconnectedness across NFTs, DeFi tokens, and traditional cryptocurrencies—especially during major crises—that prior research has overlooked.