Volume 30 Number 1, 2025

Quantile Time-Frequency Price Connectedness Between Classic Cryptocurrencies, NFT, DEFI, and Backed Gold Cryptocurrencies

Wael Dammak^a, Mellouli Dhoha^b, Sahar Loukil^c,*, Ahmed Jeribi^{d  
*a Eslsca Business School - CERFIM, Paris, France
wael.dammak@eslsca.fr, wael.dammak55@gmail.com
b High Business School of Sfax, Tunisia
mellouli1dhoha@gmail.com
c Faculty of Economics and Management of Sfax, University of Sfax, Tunisia
saharloukil@windowslive.com
d Faculty of Economics and Management of Mahdia, University of Monastir, Tunisia
ahmedjeribi07@yahoo.fr}
 

ABSTRACT

This study explores the quantile time-frequency connectedness for returns-volume pairs across classic cryptocurrencies, NFTs, DeFi, and backed gold cryptocurrencies from November 2, 2021, to January 5, 2023. Utilizing quantile-connectedness measures derived from a QVAR model's variance decomposition, we observe heterogeneous Total Connectedness Indices (TCIs) over time, dependent on various events. Our analysis confirms the spillover effect between return and volume across all studied cryptocurrency markets. Notably, volume exhibits predictive power for returns in most cases, shedding light on the driving forces behind price adjustments under diverse market conditions, as revealed by time-frequency analysis. Furthermore, a long-term pattern is discerned among backed gold currencies, Meta, UPUNK, Tera, and BNB, alongside a short-term pattern. Regarding net directional results, returns are predominantly received from volume, driven by transactions at both ends of the volume spectrum, with exceptions for Link, Ethereum, Fix Token, and PMGT. Additionally, our findings unveil an asymmetry in both the overall TCI and short-term and long-term net TCIs.

JEL Classifications: G10, G11, G15

Keywords: spillover effect; QVAR model; connectedness; cryptocurrencies; predictive power

Cite this article: 

Dammaka, W., Dhohab, M., Loukilc, S., & Jeribid, A., 2025, Quantile Time-Frequency Price Connectedness Between Classic Cryptocurrencies, NFT, DEFI, and Backed Gold Cryptocurrencies, International Journal of Business, 30(1), 001. https://doi.org/10.55802/IJB.030(1).001