Signed Connectedness Among Cryptocurrencies, NFTs, and Foreign Exchange Markets

Existing approaches mainly characterize connectedness in four dimensions: node size, direction, spillover magnitude between nodes, and time variation. However, the sign of spillovers has not been explicitly incorporated into the analysis. To address this limitation, this paper introduces sign as a fifth dimension and constructs a five-dimensional signed network-topology framework based on BVAR historical decomposition. The framework is used to examine the evolution of spillover signs and to explore the multidimensional spillover effects among the cryptocurrency, NFT, and foreign exchange markets. The results show that the signed spillovers across these three markets vary over time during the sample period. On average, DXY exerts negative spillover effects on the cryptocurrency market, while ETH exerts more pronounced negative spillover effects on the NFT market. Furthermore, during the COVID-19 pandemic and the cryptocurrency crash period, BTC shifted from a net receiver of risk spillovers to a net transmitter. In terms of sign, spillover magnitudes vary relatively little across periods, whereas sign reversals occur more frequently.