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

doi:10.1016/j.frl.2022.103188

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

Economics of Technology and Innovation

Research output: Contribution to journal › Article › Scientific › peer-review

19 Citations (Scopus)

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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 language	English
Article number	103188
Journal	Finance Research Letters
Volume	50
DOIs	https://doi.org/10.1016/j.frl.2022.103188
Publication status	Published - 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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10.1016/j.frl.2022.103188

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

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.",

keywords = "Geopolitical risks, Market factors, Non-Fungible Tokens, Quantile cross-spectral, Quantile regression",

author = "Christian Urom and Gideon Ndubuisi and Khaled Guesmi",

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.",

year = "2022",

doi = "10.1016/j.frl.2022.103188",

language = "English",

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T2 - The roles of market factors and geopolitical risks

AU - Urom, Christian

AU - Ndubuisi, Gideon

AU - Guesmi, Khaled

N1 - 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.

PY - 2022

Y1 - 2022

N2 - 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.

AB - 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.

KW - Geopolitical risks

KW - Market factors

KW - Non-Fungible Tokens

KW - Quantile cross-spectral

KW - Quantile regression

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DO - 10.1016/j.frl.2022.103188

M3 - Article

AN - SCOPUS:85135334030

SN - 1544-6123

VL - 50

JO - Finance Research Letters

JF - Finance Research Letters

M1 - 103188

ER -

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

Abstract

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Keywords

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