气泡一直往下?NFT和DeFi市场的泡沫行为检测和日期戳

Yizhi Wang, Florian Horky, L. Baals, B. Lucey, S. Vigne
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引用次数: 20

摘要

在飙升的市场价值和广泛的监管讨论中,NFT和DeFi市场被广泛认为是纯粹的投机性质。本文通过应用SADF和GSADF检验来检测NFT和DeFi市场中价格泡沫的存在和时间。我们证明,NFT和DeFi市场都表现出投机泡沫,与DeFi泡沫相比,NFT泡沫更频繁,平均爆发幅度更高。NFT和DeFi市场的价格泡沫与市场炒作和更普遍的加密货币市场不确定性高度相关。我们确实发现了泡沫未被发现的时期,这表明这些市场确实有一些内在价值,不应被简单地视为泡沫而不予理会。
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Bubbles all the way down? Detecting and date-stamping bubble behaviours in NFT and DeFi markets
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.
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来源期刊
CiteScore
4.50
自引率
5.00%
发文量
22
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