Detecting and date-stamping bubbles in fan tokens
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F70883521%3A28120%2F24%3A63582538" target="_blank" >RIV/70883521:28120/24:63582538 - isvavai.cz</a>
Result on the web
<a href="https://www.sciencedirect.com/science/article/pii/S1059056024000406" target="_blank" >https://www.sciencedirect.com/science/article/pii/S1059056024000406</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1016/j.iref.2024.01.039" target="_blank" >10.1016/j.iref.2024.01.039</a>
Alternative languages
Result language
angličtina
Original language name
Detecting and date-stamping bubbles in fan tokens
Original language description
We focus on the existence of bubbles in fan tokens, utilizing the Supremum Augmented Dickey-Fuller (SADF) and Generalized Supremum Augmented Dickey-Fuller (GSADF) tests. We use daily closing prices of the top 20 fan tokens according to their market capitalization, along with Bitcoin, Ethereum, and Chiliz. The evidence from the GSADF test results indicates that the prices of 13 out of 20 fan tokens and the three cryptocurrencies have explosive periods associated with bubbles. Our results also show that the percentage of bubble days is between 0 % and 5% for all fan tokens. Among the 13 fan tokens exhibiting bubble behavior in their prices, nine have multiple sub-periods associated with bubbles, while only four tokens have a single sub-period with explosive prices. Bubbles in token prices are short-lived bubbles; most last for a few days. As a robustness analysis, we also perform LPPLS (Log-Periodic Power Law Singularity), providing similar results. Further analysis shows that trading volume, fan token return, Economic Policy Uncertainty (EPU), Daily Infectious Disease Equity Market Volatility (EMVID) are positively associated with the presence of bubbles in fan token prices, while oil return is negatively associated with bubbles.
Czech name
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Czech description
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Classification
Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
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OECD FORD branch
50206 - Finance
Result continuities
Project
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Continuities
V - Vyzkumna aktivita podporovana z jinych verejnych zdroju
Others
Publication year
2024
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
International Review of Economics and Finance
ISSN
1059-0560
e-ISSN
1873-8036
Volume of the periodical
92
Issue of the periodical within the volume
neuvedeno
Country of publishing house
US - UNITED STATES
Number of pages
16
Pages from-to
98-113
UT code for WoS article
001188708200001
EID of the result in the Scopus database
2-s2.0-85187312743