The relationship between trading volume, volatility and returns of Non-Fungible Tokens: evidence from a quantile approach

Abstract

This is the first study to examine the quantile connectedness for returns-volume and volatility-volume pairs for the three non-fungible tokens (THETA, Tezos, and Enjin Coin) using the quantile VAR approach. The results report the highest connectedness of volume with returns and volatility in the extreme upper quantile compared to other quantiles, implying the asymmetric connectedness. The spillover effect is observed from volume to returns and volatilities in extreme upper and lower market conditions, whereas opposite direction of spillovers is evident for the selected non-fungible tokens at median quantile. Our findings are useful for investors in predicting the returns and risk of NFTs using trading volume in the extreme market conditions.