NFTs, DeFi, and other assets efficiency and volatility dynamics: An asymmetric multifractality analysis
研究了NFT、DeFi、加密货币和传统资产在2017年11月至2022年2月间的效率与非对称多重分形特征，发现DeFi-DigiByte效率最高，加密货币-Tether最低，且NFT和DeFi对牛市小事件敏感，对投资组合多样化有启示。
This paper examines the efficiency and asymmetric multifractal features of NFTs, DeFi, cryptocurrencies, and traditional assets using Asymmetric Multifractal Cross-Correlations Analysis covering the period from November 2017 to February 2022. Considering the full sample with a significant variation among asset classes, the study reveals DeFi-DigiByte is the most efficient while the cryptocurrency-Tether is the least efficient. However, S&P 500 showed high efficiency before COVID-19, and DeFi-Enjin Coin advanced as the most efficient asset during COVID-19. The volatility dynamics of NFTs, DeFi, and cryptocurrencies follow strong nonlinear cross-correlations, but evidence of weaker nonlinearity exists in traditional assets. Additionally, the sensitivity to smaller events in bull markets is high for NFTs and DeFi. The findings have significant implications for portfolio diversification when an investor's portfolio set includes traditional assets and cryptocurrency and relatively new blockchain-based assets like NFTs and DeFi.