Dissecting the Price Dynamics and Safe-Haven Properties of DeFi and NFT in Crisis Periods

Dear Colleagues,

Non-Fungible Tokens (NFT) and Decentralized Finance (DeFi) are overwhelmingly considered as niche in the digital finance industry and tend to lure investors and professionals. Given the growth of capital flows to DeFi and NFTs and their share in the cryptocurrency markets, it is very important for (potential) users to analyze the price dynamics of such new markets and their potential relationship with other ones from portfolio analysis and risk management perspectives. As a matter of fact, and compared to studies on Bitcoin and other cryptocurrencies, research on DeFi and NFTs markets remain under-explored. (e.g., Umar et al., 2023; Chowdhury et al., 2023). 

This Special Issue tries to expand the current research throughout a wide lens, focusing on the price behavior of such new digital assets and the main factors deriving their returns and volatilities. (e.g., Bejaoui et al., 2023; Frikha et al., 2023; Ghosh et al., 2023; Braiek and Jeribi, 2022; Ghorbel et al., 2022). It also attempts to investigate the performance of DeFi and NFTs during tumultuous economic conditions. It afterwards explores the potential safe haven, diversification, and hedging proprieties of such assets with the outbreak of unprecedented events (e.g., the COVID-19 pandemic and geopolitical events) and encourages studies to compare them to other well-known ones (e.g., gold and Bitcoin). In this regard, it offers the opportunity to explore the (dis)similarities between the potential abilities of Bitcoin and gold against other assets (e.g., Kayral et al., 2023; Liu, 2023; Turki et al., 2022). This Special Issue also tends to develop a thoroughly fresh research path on examining the effect of the 2023 bank crisis on the dependence structure between NFTs and DeFI markets and other financial/cryptocurrency markets.

Therefore, papers to be included in the Special Issue will offer a synopsis of the most recent conceptual and methodological approaches to the connectedness structure and market price reactions of DeFi and NFT markets to crisis shocks. Specifically, this Special Issue highly considers empirical and theoretical research, quantitative and review papers, such as general review, content analysis, and meta-analysis. Comparative studies of emerging countries or studies based on the comparison between the developed and emerging countries to highlight the aforementioned issues are strongly welcome.

References

1. Bejaoui, A., Frikha, W., Jeribi, A., Bariviera, A.F. 2023. Connectedness between emerging stock markets, gold, cryptocurrencies, DeFi and NFT: Some new evidence from wavelet analysis, Physica A: Statistical Mechanics and its Applications, 619, 128720, https://doi.org/10.1016/j.physa.2023.128720.
2. Braiek, S., Jeribi, A. 2022. Cryptocurrencies’ Time to Shine in the World, Iranian Economic Review, -. doi: 10.22059/ier.2022.85770.
3. Frikha, W., Brahim, M., Jeribi, A., Lahiani, A. 2023. COVID-19, Russia-Ukraine war and interconnectedness between stock and crypto markets: a wavelet-based analysis, Journal of Business Analytics, DOI: 10.1080/2573234X.2023.2193224.
4. Ghorbel, A., Fakhfekh, M., Jeribi, A. and Lahiani, A. 2022. Extreme dependence and risk spillover across G7 and China stock markets before and during the COVID-19 period", Journal of Risk Finance, 23 (2), 206-244. https://doi.org/10.1108/JRF-11-2021-0179.
5. Ghosh, B., Bouri, E., Wee, J. B. and Zulfiqar, N. 2023. Return and volatility properties: Stylized facts from the universe of cryptocurrencies and NFTs, Research in International Business and Finance, Volume 65, 101945.
6. Kayral, I, E., Jeribi, A., Loukil, S. 2023. Are Bitcoin and Gold a Safe Haven during COVID-19 and the 2022 Russia–Ukraine War?, Journal of Risk and Financial Management 16 (4), 222, https://doi.org/10.3390/jrfm16040222.
7. Liu, J. 2023. Time-frequency correlations and extreme spillover effects between carbon markets and NFTs: The roles of EPU and COVID-19. Finance Research Letters, Volume 54, 103690.
8. Turki, A., Obeid, A., Loukil, S., Jeribi, A. 2022. Connectedness between conventional and digital assets amid COVID-19 pandemic: Evidence from G7 stocks, Oil and Bitcoin. Bankers, Markets & Investors, 171(3), 20-42. https://doi.org/10.54695/bmi.171.8460.
9. Umar, Z., Usman, M., Sun-Yong, C. and Rice, J. 2023. Diversification benefits of NFTs for conventional asset investors: Evidence from CoVaR with higher moments and optimal hedge ratios. Research in International Business and Finance, 101957.
10. Chowdhury, A.F., Abdullah, M., Alam, M., Abedin, M.Z., and Shi, B. 2023. NFTs, DeFi, and other assets efficiency and volatility dynamics: An asymmetric multifractality analysis. International Review of Financial Analysis, Volume 87, 102642. 

Dr. Ahmed Jeribi
Dr. Azza Bejaoui
Dr. Ying Wang
Guest Editors

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• financial analysis and risk management with NFTs and DeFi
• stylized facts of new digital asset markets
• price dynamics of NFTs and DeFi and misleading/true information disclosure/transmission
• price dynamics of NFTs and DeFi and investor sentiment
• hedging, safe haven, and diversification properties of DeFi and NFTs
• connectedness structure, optimal hedging ratios, and hedging effectiveness
• portfolio optimization
• effect of the 2023 bank crisis on cross-market linkages