Non-Fungible Token Markets: A Focus on Tail Behavior and Relationship with Bitcoin

Abstract

The paper uncovers the volatility spillovers in tails between non-fungible token (NFT) markets and bitcoin from 2019 to 2021. The results show that the NFTs and bitcoin are less connected in the left tail (bearish markets) in comparison to the right tail. It reveals that the Art NFT market has the highest influence in the left tail, while the blockchain game market is the strongest volatility transmitter in the right tail. Notably, the volatility of bitcoin does not play an important role in the NFTs during the study period, and the Metaverse and blockchain game markets have potential portfolio diversification benefit with bitcoin. The findings provide valuable implications for investment portfolio management and policymaking in the transition to the future digital economy.