COIN SPECIFIC SENTIMENTS MATTER FOR THE NONFUNGIBLE TOKENS SPILLOVERS: HOW AND WHEN?

Oguzhan Cepni and Ahmet Faruk Aysan
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Ahmet Faruk Aysan: Hamad Bin Khalifa University, Ar-Rayyan, Qatar

Bulletin of Monetary Economics and Banking, 2023, vol. 26, issue 4, 637-658

Abstract: This paper explores the impact of sentiment on return spillovers among seven major Non-Fungible Tokens (NFTs). Using daily sentiment data from Thomson Reuters MarketPysch Indices and controlling for uncertainty factors and NFT sales, we examine the relationship between media sentiment and NFTs return spillovers using a TVP-VAR model. Our findings show that individual NFTs sentiment is important for spillover dynamics and the effect of sentiment changes based on market uncertainty. The study highlights the need for NFTs investors to focus on market sentiment themes rather than overall sentiment

Keywords: Spillovers; Cryptocurrency; TVP-VAR; Sentiment; COVID-19 (search for similar items in EconPapers)
JEL-codes: C21 C22 G11 G14 G17 (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:idn:journl:v:26:y:2023:i:4f:p:637-658

DOI: 10.59091/2460-9196.2155

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