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.