Detecting and date-stamping bubbles in fan tokens

Kód výsledku v 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>

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

Detecting and date-stamping bubbles in fan tokens

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

Detecting and date-stamping bubbles in fan tokens

Popis výsledku anglicky

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.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

50206 - Finance

Projekt

—

Návaznosti

V - Vyzkumna aktivita podporovana z jinych verejnych zdroju

Rok uplatnění

2024

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

International Review of Economics and Finance

ISSN

1059-0560

e-ISSN

1873-8036

Svazek periodika

92

Číslo periodika v rámci svazku

neuvedeno

Stát vydavatele periodika

US - Spojené státy americké

Počet stran výsledku

16

Strana od-do

98-113

Kód UT WoS článku

001188708200001

EID výsledku v databázi Scopus

2-s2.0-85187312743