Yizhi Wang, Florian Horky, L. Baals, B. Lucey, S. Vigne
{"title":"气泡一直往下?NFT和DeFi市场的泡沫行为检测和日期戳","authors":"Yizhi Wang, Florian Horky, L. Baals, B. Lucey, S. Vigne","doi":"10.1080/14765284.2022.2138161","DOIUrl":null,"url":null,"abstract":"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.","PeriodicalId":45444,"journal":{"name":"Journal of Chinese Economic and Business Studies","volume":null,"pages":null},"PeriodicalIF":2.4000,"publicationDate":"2022-10-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"20","resultStr":"{\"title\":\"Bubbles all the way down? Detecting and date-stamping bubble behaviours in NFT and DeFi markets\",\"authors\":\"Yizhi Wang, Florian Horky, L. Baals, B. Lucey, S. Vigne\",\"doi\":\"10.1080/14765284.2022.2138161\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"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.\",\"PeriodicalId\":45444,\"journal\":{\"name\":\"Journal of Chinese Economic and Business Studies\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":2.4000,\"publicationDate\":\"2022-10-02\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"20\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Journal of Chinese Economic and Business Studies\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.1080/14765284.2022.2138161\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q2\",\"JCRName\":\"ECONOMICS\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Chinese Economic and Business Studies","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1080/14765284.2022.2138161","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"ECONOMICS","Score":null,"Total":0}
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.