A note on the determinants of non-fungible tokens returns

Abstract

We aim to identify the determinants of non-fungible tokens (NFTs) returns. The 10 most popular NFTs based on their price, trading volume, and market capitalisation are examined. Twenty-three potential drivers of the returns of each NFT are considered. We employ a Bayesian LASSO model which takes into account stochastic volatility and leverage effect. The results indicate that NFTs returns are primarily driven by volatility and ethereum returns. We find a weak connection between NFTs returns and conventional assets, such as stock, oil, and gold markets.