Examining the bidirectional ripple effects in the NFT markets: Risky center or hedging center?

IF 4.3 2区经济学 Q1 BUSINESS, FINANCE Journal of Behavioral and Experimental Finance Pub Date : 2024-03-01 DOI:10.1016/j.jbef.2024.100904

Xu Zhang , Muhammad Abubakr Naeem , Yuting Du , Abdul Rauf

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Abstract

This study introduces a novel bidirectional ripple effect method to identify the risky center, hedging center, and duration of ripple effects. This method is used to examine the static and dynamic ripple effects among NFTs using idiosyncratic volatility measures. The findings indicate that, overall, correlations and bidirectional ripple effects among NFTs are prominent over the sample period. Only a few NFTs are significant ripple centers. Decentraland is a significant risky center, while CryptoVoxels serves as a reliable hedging center. The outcomes of rolling window tests and durations reveal that the central role of NFTs varies over time. The findings also show that ripple effects have significant durations. These conclusions hold considerable importance for NFT investors in making investment choices and managing risks.

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研究 NFT 市场的双向波纹效应：风险中心还是对冲中心？

本研究引入了一种新颖的双向波纹效应方法来识别波纹效应的风险中心、对冲中心和持续时间。该方法被用于利用特异性波动率指标检验 NFT 之间的静态和动态波纹效应。研究结果表明，总体而言，在样本期间，NFT 之间的相关性和双向波纹效应非常突出。只有少数 NFT 是显著的涟漪中心。Decentraland 是一个重要的风险中心，而 CryptoVoxels 则是一个可靠的对冲中心。滚动窗口测试和持续时间的结果显示，NFT 的中心作用随时间而变化。研究结果还表明，涟漪效应具有显著的持续时间。这些结论对于 NFT 投资者做出投资选择和管理风险具有相当重要的意义。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Behavioral and Experimental Finance BUSINESS, FINANCE-

CiteScore

13.20

自引率

6.10%

发文量

审稿时长

69 days

期刊介绍： Behavioral and Experimental Finance represent lenses and approaches through which we can view financial decision-making. The aim of the journal is to publish high quality research in all fields of finance, where such research is carried out with a behavioral perspective and / or is carried out via experimental methods. It is open to but not limited to papers which cover investigations of biases, the role of various neurological markers in financial decision making, national and organizational culture as it impacts financial decision making, sentiment and asset pricing, the design and implementation of experiments to investigate financial decision making and trading, methodological experiments, and natural experiments. Journal of Behavioral and Experimental Finance welcomes full-length and short letter papers in the area of behavioral finance and experimental finance. The focus is on rapid dissemination of high-impact research in these areas.