Abstract
In this study, we test the hedge and safe haven properties of NFTs against Bitcoin and Ethereum market fluctuations in the backdrop of COVID-19 and the Russia-Ukraine war. We employ daily returns of Bitcoin, Ethereum, and four NFTS, namely Decentraland, Cryptopunks, Cryptokitties, and SuperRare, from 04 April 2018 to 7 July 2022. For analytical purposes, we estimate dynamic hedge effectiveness and wavelet quantile correlations. The dynamic hedge effectiveness results confirm the NFTs' hedge ability against Bitcoin. The WQC results show that NFTs offer short, medium, and long-run hedge properties and short run safe haven property against Bitcoin. Further, we show that NFTs are at best a short to medium term diversifier against Ethereum fluctuations.
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