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https://ruomoplus.lib.uom.gr/handle/8000/1793| Title: | A note on the determinants of non-fungible tokens returns | Authors: | Panagiotidis, Theodore Papapanagiotou, Georgios |
Author Department Affiliations: | Department of Economics Department of Economics |
Author School Affiliations: | School of Economic and Regional Studies School of Economic and Regional Studies |
Subjects: | FRASCATI__Social sciences__Economics and Business__Economics FRASCATI__Social sciences__Economics and Business__Finance |
Keywords: | Bayesian cryptocurrency LASSO non-fungible tokens uncertainty volatility |
Issue Date: | 30-May-2024 | Journal: | International Journal of Finance & Economics | ISSN: | 1076-9307 | Abstract: | We aim to identify the determinants of non-fungible tokens 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. |
URI: | https://ruomoplus.lib.uom.gr/handle/8000/1793 | DOI: | 10.1002/ijfe.3008 | Rights: | Attribution-NonCommercial-NoDerivatives 4.0 Διεθνές | Corresponding Item Departments: | Department of Economics Department of Economics |
| Appears in Collections: | Articles |
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| File | Description | Size | Format | |
|---|---|---|---|---|
| wp24-07.pdf | 1,01 MB | Adobe PDF | View/Open |
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