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Dynamic dependence and predictability between volume and return of Non-Fungible Tokens (NFTs): The roles of market factors and geopolitical risks

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  • Urom, Christian
  • Ndubuisi, Gideon
  • Guesmi, Khaled

Abstract

We examine the dependence between volume and returns for the NFT market and three sub-markets (Cryptokitties, Cryptopunks, and Decentraland) using both quantile cross-spectral coherency and quantile regression techniques. Results from both techniques show significant evidence of dependence between NFT return and volume. Dependence between volume and return is weakest in the Cryptopunks market. Similarly, quantile regression results show that during extreme market conditions, equity and gold markets uncertainty, business condition and term-spread are important predictors of Cryptokitties returns, while oil, equity and gold markets uncertainty and geopolitical risks significantly predict Cryptopunks and Decentraland markets returns. In all cases, increase in Bitcoin prices reduces NFT market returns.

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  • Urom, Christian & Ndubuisi, Gideon & Guesmi, Khaled, 2022. "Dynamic dependence and predictability between volume and return of Non-Fungible Tokens (NFTs): The roles of market factors and geopolitical risks," Finance Research Letters, Elsevier, vol. 50(C).
    • Handle: RePEc:eee:finlet:v:50:y:2022:i:c:s1544612322003944
    DOI: 10.1016/j.frl.2022.103188
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    Cited by:

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    5. Gideon Ndubuisi & Solomon Owusu & Rex Asiama & Elvis Korku Avenyo, 2023. "Drivers of services sector growth acceleration in developing countries," WIDER Working Paper Series wp-2023-87, World Institute for Development Economic Research (UNU-WIDER).
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    7. Liu, Jiatong, 2023. "Time-frequency correlations and extreme spillover effects between carbon markets and NFTs: The roles of EPU and COVID-19," Finance Research Letters, Elsevier, vol. 54(C).
    8. Jana, Rabin K. & Ghosh, Indranil, 2023. "Time-varying relationship between geopolitical uncertainty and agricultural investment," Finance Research Letters, Elsevier, vol. 52(C).

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