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Coin Specific Sentiments Matter For The Nonfungible Tokens Spillovers: How And When?

Author

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  • Oguzhan Cepni

    (Copenhagen Business School, Department of Economics, Denmark)

  • Ahmet Faruk Aysan

    (Hamad Bin Khalifa University, Ar-Rayyan, Qatar)

Abstract

This paper explores the impact of sentiment on return spillovers among seven major Non-Fungible Tokens (NFTs). Using daily sentiment data from Thomson Reuters MarketPysch Indices and controlling for uncertainty factors and NFT sales, we examine the relationship between media sentiment and NFTs return spillovers using a TVP-VAR model. Our findings show that individual NFTs sentiment is important for spillover dynamics and the effect of sentiment changes based on market uncertainty. The study highlights the need for NFTs investors to focus on market sentiment themes rather than overall sentiment

Suggested Citation

  • Oguzhan Cepni & Ahmet Faruk Aysan, 2023. "Coin Specific Sentiments Matter For The Nonfungible Tokens Spillovers: How And When?," Bulletin of Monetary Economics and Banking, Bank Indonesia, vol. 26(4), pages 637-658, November.
    • Handle: RePEc:idn:journl:v:26:y:2023:i:4f:p:637-658
    DOI: https://doi.org/10.59091/2460-9196.2155
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    Spillovers; Cryptocurrency; TVP-VAR; Sentiment; COVID-19;
    All these keywords.

    JEL classification:

    • C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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