Correlation structure between fiat currencies and blockchain assets

Emmanuel Joel Aikins Abakah; G M Wali Ullah; Mohammad Abdullah; Chi-Chuan  Lee; Zunaidah  Sulong

doi:10.1016/j.frl.2024.105114

Correlation structure between fiat currencies and blockchain assets

Emmanuel Joel Aikins Abakah, G M Wali Ullah, Mohammad Abdullah, Chi-Chuan Lee, Zunaidah Sulong

College of Business, Government and Law

Research output: Contribution to journal › Article › peer-review

3 Citations (Scopus)

Abstract

This study examines the correlation between fiat currencies of the G7 and BRICS economies and non-fungible tokens (NFTs) and decentralized finance (DeFi). We use quantile-on-quantile regression (QQR) and the rolling window wavelet correlation (RWWC) method with data spanning from September 2020 to October 2023. The findings from the QQR indicate a heterogenous relationship between currencies and digital assets. Specifically, BRICS currencies are more correlated with NFTs, whereas DeFi is correlated with almost all currencies. Further, the RWWC results reveal a time-varying negative correlation pattern between fiat currencies and NFTs and DeFi.

Original language	English
Article number	105114
Number of pages	9
Journal	Finance Research Letters
Volume	62
Issue number	Part A
Early online date	7 Feb 2024
DOIs	https://doi.org/10.1016/j.frl.2024.105114
Publication status	Published - Apr 2024

Keywords

Fiat currencies
NFTs
DeFi
correlation
wavelet
QQR

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10.1016/j.frl.2024.105114Licence: In Copyright

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title = "Correlation structure between fiat currencies and blockchain assets",

abstract = "This study examines the correlation between fiat currencies of the G7 and BRICS economies and non-fungible tokens (NFTs) and decentralized finance (DeFi). We use quantile-on-quantile regression (QQR) and the rolling window wavelet correlation (RWWC) method with data spanning from September 2020 to October 2023. The findings from the QQR indicate a heterogenous relationship between currencies and digital assets. Specifically, BRICS currencies are more correlated with NFTs, whereas DeFi is correlated with almost all currencies. Further, the RWWC results reveal a time-varying negative correlation pattern between fiat currencies and NFTs and DeFi. ",

keywords = "Fiat currencies, NFTs, DeFi, correlation, wavelet, QQR",

author = "Abakah, {Emmanuel Joel Aikins} and {Wali Ullah}, {G M} and Mohammad Abdullah and Chi-Chuan Lee and Zunaidah Sulong",

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doi = "10.1016/j.frl.2024.105114",

language = "English",

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journal = "Finance Research Letters",

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AU - Abakah, Emmanuel Joel Aikins

AU - Wali Ullah, G M

AU - Abdullah, Mohammad

AU - Lee, Chi-Chuan

AU - Sulong, Zunaidah

PY - 2024/4

Y1 - 2024/4

N2 - This study examines the correlation between fiat currencies of the G7 and BRICS economies and non-fungible tokens (NFTs) and decentralized finance (DeFi). We use quantile-on-quantile regression (QQR) and the rolling window wavelet correlation (RWWC) method with data spanning from September 2020 to October 2023. The findings from the QQR indicate a heterogenous relationship between currencies and digital assets. Specifically, BRICS currencies are more correlated with NFTs, whereas DeFi is correlated with almost all currencies. Further, the RWWC results reveal a time-varying negative correlation pattern between fiat currencies and NFTs and DeFi.

AB - This study examines the correlation between fiat currencies of the G7 and BRICS economies and non-fungible tokens (NFTs) and decentralized finance (DeFi). We use quantile-on-quantile regression (QQR) and the rolling window wavelet correlation (RWWC) method with data spanning from September 2020 to October 2023. The findings from the QQR indicate a heterogenous relationship between currencies and digital assets. Specifically, BRICS currencies are more correlated with NFTs, whereas DeFi is correlated with almost all currencies. Further, the RWWC results reveal a time-varying negative correlation pattern between fiat currencies and NFTs and DeFi.

KW - Fiat currencies

KW - NFTs

KW - DeFi

KW - correlation

KW - wavelet

KW - QQR

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DO - 10.1016/j.frl.2024.105114

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VL - 62

JO - Finance Research Letters

JF - Finance Research Letters

IS - Part A

M1 - 105114

ER -

Correlation structure between fiat currencies and blockchain assets

Abstract

Keywords

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