Dependence structure between NFT, DeFi and cryptocurrencies in turbulent times

Article  -  Monday, 22 July 2024

Fakhfekh, M., Bejaoui, A., Bariviera, A. F., & Jeribi, A. (2024): "Dependence structure between NFT, DeFi and cryptocurrencies in turbulent times: An Archimax copula approach", The North American Journal of Economics and Finance

This research delves into the interconnectivity among 18 different types of cryptocurrencies, including NFTs, DeFi tokens, gold-backed cryptocurrencies, and traditional cryptocurrencies. We also calculated the optimal hedging ratio for each pair of cryptocurrencies and assessed their effectiveness in hedging against market fluctuations. To achieve this, we employed a range of econometric methods. Our data encompasses the period from November 1, 2021, to February 21, 2023, making the empirical analysis particularly relevant given the inclusion of the COVID-19 pandemic and the Russia-Ukraine conflict. Our findings reveal distinct patterns of interconnectivity between various cryptocurrencies and NFT/DeFi assets. Moreover, they demonstrate the diversification benefits of incorporating gold-backed cryptocurrencies into NFT/DeFi portfolios, particularly during periods of unprecedented events. These insights could prove valuable for crypto-investors seeking to diversify their investment strategies.

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