Time-frequency correlations and extreme spillover effects between carbon markets and NFTs: The roles of EPU and COVID-19

Abstract

This paper examines the correlations and spillover effects between carbon markets and NFTs, and explores the roles of EPU and COVID-19, utilizing the rolling window wavelet correlation and the quantile frequency connectedness approach. We find, first, strong correlations between returns mainly exist in the long term. Second, the extreme volatility spillover in the carbon-NFT system is greater and faster than in normal case. Third, major international events increase the total connectedness of the system. Fourth, COVID-19 inhibits carbon-NFTs' extreme spillover effect, while China's EPU has positive impacts. Our results also provide valuable references and policy implications for investors and policymakers.