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

Wang, Yizhi, Horky, Florian, Baals, Lennart, Lucey, Brian and Vigne, Samuel 2022. Bubbles all the way down? Detecting and date-stamping bubble behaviours in NFT and DeFi markets. Journal of Chinese Economic and Business Studies 20 (4) , pp. 415-436. 10.1080/14765284.2022.2138161

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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.

Item Type:	Article
Date Type:	Published Online
Status:	Published
Schools:	Business (Including Economics)
Subjects:	H Social Sciences > HG Finance H Social Sciences > HJ Public Finance
Publisher:	Taylor & Francis (Routledge)
ISSN:	1476-5284
Date of First Compliant Deposit:	4 January 2023
Date of Acceptance:	4 September 2022
Last Modified:	19 Feb 2024 13:30
URI:	https://orca.cardiff.ac.uk/id/eprint/155390

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