Return volatility and trading volume of GameFi

Guiqiang Shi, John W. Goodell and Dehua Shen

Journal of Behavioral and Experimental Finance, 2024, vol. 43, issue C

Abstract: Focusing on GameFi, we test theories regarding the relationship between return volatility and trading volume. These theories include the Mixture of Distribution Hypothesis (MDH) and the Sequential Information Arrival Hypothesis (SIAH). Empirical results indicate rejection of MDH and support for SIAH. These results are robust to alternative measurements of trading volume and return volatility. Subperiod analysis further reveals that SIAH is more pronounced during periods of high investor attention and low economic uncertainty. The results will be of interest to scholars interested in the robustness of established financial theories for revolutionary financial products.

Keywords: GameFi; Return volatility; SIAH; MDH; Investor attention; Economic uncertainty (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:beexfi:v:43:y:2024:i:c:s2214635024000704

DOI: 10.1016/j.jbef.2024.100955

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