Return and volatility properties: Stylized facts from the universe of cryptocurrencies and NFTs

Bikramaditya Ghosh, Elie Bouri, Jung Bum Wee and Noshaba Zulfiqar

Research in International Business and Finance, 2023, vol. 65, issue C

Abstract: Stylized facts of returns and volatility are an important approximation tool for empirical finance studies, especially in the area of young and new assets. In this paper, we examine the return and volatility properties of four non-fungible tokens (NFTs) and four cryptocurrencies from 24th January 2018–2nd August 2022. The results show the following: Firstly, the returns of both NFTs and cryptocurrencies have fat tails, with evidence of tail exponents following the inverse cubic-law, along with clear persistence behavior. Secondly, all returns exhibit volatility clustering, albeit to varying degrees, and the detected absence of inverse volatility-asymmetry challenges the safe-haven property often documented for cryptocurrencies. Thirdly, return-based long-memory is slightly more intense than volatility-based long-memory, especially for NFTs, which demonstrate a predictability contesting market efficiency. These findings are generally consistent with previous findings on equities, implying that the return and volatility behavior of NFTs and cryptocurrencies is leaning towards that of traditional assets.

Keywords: Non-fungible token (NFT); Bitcoin and cryptocurrencies; Fat tails; GARCH-models; Asymmetric volatility; Long memory (search for similar items in EconPapers)
JEL-codes: B16 B23 C22 C51 C53 C58 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (11)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:65:y:2023:i:c:s0275531923000715

DOI: 10.1016/j.ribaf.2023.101945

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