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.

Bubbles all the way down? Detecting and date-stamping bubble behaviours in NFT and DeFi markets / Lucey, B. M.; Wang, Y.; Vigne, Samuel Alexandre; Florian, Horky; Lennart J., Baals. - In: JOURNAL OF CHINESE ECONOMIC AND BUSINESS STUDIES. - ISSN 1476-5284. - (In corso di stampa), pp. 1-22. [10.1080/14765284.2022.2138161]

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

Vigne S. A.;
In corso di stampa

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.
NFTs, DeFi, Price bubbles, SADF and GSADF, Explosiveness
Bubbles all the way down? Detecting and date-stamping bubble behaviours in NFT and DeFi markets / Lucey, B. M.; Wang, Y.; Vigne, Samuel Alexandre; Florian, Horky; Lennart J., Baals. - In: JOURNAL OF CHINESE ECONOMIC AND BUSINESS STUDIES. - ISSN 1476-5284. - (In corso di stampa), pp. 1-22. [10.1080/14765284.2022.2138161]
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11385/222624
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