Unraveling the Connectedness between Non-Fungible Tokens, Decentralized Finance, and Green Assets During Turbulent Times

Green assets during the Bitcoin plummet-2018, COVID-2019, worldwide decline in oil demand-2020, and the Russia-Ukraine Conflict. The quantile connectedness approach, combined with the extreme tail of distribution technique (Ando et al., 2021), has been employed. According to static quantile connectedness, NFTs and DeFi assets perform the role of spillover transmitters; in contrast, green assets receive spillovers across three distinctive market settings. Additionally, the dynamic time-varying net directional connectedness estimates reveal that during normal market condition, the connectedness degree between NFTs, DeFi assets, and green assets remains low relative to extreme events at different point in time. Moreover, it provides valuable insights and practical guidance to investors, portfolio managers, and policymakers.