Abstract
The emerging Non-fungible tokens (NFTs) have received investors’ attention as an alternative asset, whereas the nexus between NFTs and major asset classes remains unsettled and emerges as an issue of unquestionable interest. Using a novel Q-Joint spillover model, we explore the quantile connectedness between NFTs and common asset classes. We reveal that return and volatility cross-asset spillovers are much higher in extreme market conditions than that of normal times. The noticeable directional connectedness and results of hierarchical clustering of directional spillovers hint that NFTs should not be considered as a distinct asset class in extreme market conditions.
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