Bubbles all the way down? Detecting and date-stamping bubble behaviours in NFT and DeFi markets

IF 2.4 Q2 ECONOMICS
Yizhi Wang, Florian Horky, L. Baals, B. Lucey, S. Vigne
{"title":"Bubbles all the way down? Detecting and date-stamping bubble behaviours in NFT and DeFi markets","authors":"Yizhi Wang, Florian Horky, L. Baals, B. Lucey, S. Vigne","doi":"10.1080/14765284.2022.2138161","DOIUrl":null,"url":null,"abstract":"ABSTRACT Amid surging market values and widespread regulatory discussion, NFT and DeFi markets are widely perceived as being simply speculative in nature. This paper detects the existence and dates of price bubbles in the NFT and DeFi markets by applying SADF and GSADF tests. We document that NFT and DeFi markets both exhibit speculative bubbles, with NFT bubbles being more recurrent and having higher average explosive magnitudes than DeFi bubbles. The price bubbles in the NFT and DeFi markets are highly correlated with market hype and with more general cryptocurrency market uncertainty. We do find periods where bubbles are not detected, suggesting that these markets do have some intrinsic value and should not be dismissed as simply bubbles.","PeriodicalId":45444,"journal":{"name":"Journal of Chinese Economic and Business Studies","volume":"20 1","pages":"415 - 436"},"PeriodicalIF":2.4000,"publicationDate":"2022-10-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"20","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Chinese Economic and Business Studies","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1080/14765284.2022.2138161","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"ECONOMICS","Score":null,"Total":0}
引用次数: 20

Abstract

ABSTRACT Amid surging market values and widespread regulatory discussion, NFT and DeFi markets are widely perceived as being simply speculative in nature. This paper detects the existence and dates of price bubbles in the NFT and DeFi markets by applying SADF and GSADF tests. We document that NFT and DeFi markets both exhibit speculative bubbles, with NFT bubbles being more recurrent and having higher average explosive magnitudes than DeFi bubbles. The price bubbles in the NFT and DeFi markets are highly correlated with market hype and with more general cryptocurrency market uncertainty. We do find periods where bubbles are not detected, suggesting that these markets do have some intrinsic value and should not be dismissed as simply bubbles.
气泡一直往下?NFT和DeFi市场的泡沫行为检测和日期戳
在飙升的市场价值和广泛的监管讨论中,NFT和DeFi市场被广泛认为是纯粹的投机性质。本文通过应用SADF和GSADF检验来检测NFT和DeFi市场中价格泡沫的存在和时间。我们证明,NFT和DeFi市场都表现出投机泡沫,与DeFi泡沫相比,NFT泡沫更频繁,平均爆发幅度更高。NFT和DeFi市场的价格泡沫与市场炒作和更普遍的加密货币市场不确定性高度相关。我们确实发现了泡沫未被发现的时期,这表明这些市场确实有一些内在价值,不应被简单地视为泡沫而不予理会。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
求助全文
约1分钟内获得全文 求助全文
来源期刊
CiteScore
4.50
自引率
5.00%
发文量
22
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
提示
您的信息不完整,为了账户安全,请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
确定
请完成安全验证×
copy
已复制链接
快去分享给好友吧!
我知道了
右上角分享
点击右上角分享
0
联系我们:info@booksci.cn Book学术提供免费学术资源搜索服务,方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。 Copyright © 2023 布克学术 All rights reserved.
京ICP备2023020795号-1
ghs 京公网安备 11010802042870号
Book学术文献互助
Book学术文献互助群
群 号:481959085
Book学术官方微信