Asymmetries in factors influencing non-fungible tokens' (NFTs) returns

【Author】 Benedek, Botond; Nagy, Balint Zsolt

【Source】FINANCIAL INNOVATION

【影响因子】6.793

【Abstract】The asymmetries of factors influencing the return of cryptocurrencies have already been well documented; however, in the case of NFTs, only information asymmetries and hedging properties related to asymmetries were studied. Therefore, the present study examines factors affecting NFT returns, from market-related factors (crypto-market index return and stock market index return) to the Amihud illiquidity ratio and Google search trends during different market conditions. The wavelet coherences-based methodology was applied separately during the boom, bust, normal, and turbulent periods identified by structural breakpoints. Based on 14 NFT projects between April 2019 and July 2022, results show two fundamental asymmetries influencing these NFT returns. First, there is an asymmetry in the behavior of the factors in different periods; second, there is an asymmetry in how illiquidity manifests itself over NFTs that do or do not possess cash flow-generating potential.

【Keywords】Non-fungible tokens; Partial wavelet coherence; Multiple wavelet coherence; Multiple endogenous structural breaks; G12; G14; C58

【发表时间】2025 JAN 6

【收录时间】2025-02-16

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