Dynamic dependence and predictability between volume and return of Non-Fungible Tokens (NFTs): The roles of market factors and geopolitical risks

Christian Urom*, Gideon Ndubuisi, Khaled Guesmi

*Corresponding author for this work

Research output: Contribution to journalArticleScientificpeer-review

30 Citations (Scopus)
20 Downloads (Pure)

Abstract

We examine the dependence between volume and returns for the NFT market and three sub-markets (Cryptokitties, Cryptopunks, and Decentraland) using both quantile cross-spectral coherency and quantile regression techniques. Results from both techniques show significant evidence of dependence between NFT return and volume. Dependence between volume and return is weakest in the Cryptopunks market. Similarly, quantile regression results show that during extreme market conditions, equity and gold markets uncertainty, business condition and term-spread are important predictors of Cryptokitties returns, while oil, equity and gold markets uncertainty and geopolitical risks significantly predict Cryptopunks and Decentraland markets returns. In all cases, increase in Bitcoin prices reduces NFT market returns.
Original languageEnglish
Article number103188
JournalFinance Research Letters
Volume50
DOIs
Publication statusPublished - 2022

Bibliographical note

Green Open Access added to TU Delft Institutional Repository 'You share, we take care!' - Taverne project https://www.openaccess.nl/en/you-share-we-take-care
Otherwise as indicated in the copyright section: the publisher is the copyright holder of this work and the author uses the Dutch legislation to make this work public.

Keywords

  • Geopolitical risks
  • Market factors
  • Non-Fungible Tokens
  • Quantile cross-spectral
  • Quantile regression

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