A note on the determinants of NFTs returns

Theodore Panagiotidis and Georgios Papapanagiotou

Discussion Paper Series from Department of Economics, University of Macedonia

Abstract: We aim to identify the determinants of non-fungible tokens (NFTs) returns. The ten most popular NFTs based on their price, trading volume, and market capitalisation are examined. Twenty-three potential drivers of the returns of each NFT are considered. We employ a Bayesian LASSO model which takes into account stochastic volatility and leverage effect. The results indicate that NFTs returns are primarily driven by volatility and ethereum returns. We find a weak connection between NFTs returns and conventional assets, such as stock, oil, and gold markets.

JEL-codes: C11 C22 G12 G15 (search for similar items in EconPapers)
Date: 2024-02, Revised 2024-02
New Economics Papers: this item is included in nep-cul and nep-pay
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Related works:
Working Paper: A note on the determinants of NFTs returns (2024)
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Persistent link: https://EconPapers.repec.org/RePEc:mcd:mcddps:2024_02

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