Coin Specific Sentiments Matter for the Non-fungible Tokens Spillovers: How and When?

Oguzhan Cepni, Ahmet Faruk Aysan

Research output: Contribution to journalJournal articleResearchpeer-review

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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.
Original languageEnglish
Article number2155
JournalBulletin of Monetary Economics and Banking
Volume26
Issue number4
Pages (from-to)637-657
Number of pages21
ISSN1410-8046
DOIs
Publication statusPublished - 2023

Keywords

  • Spillovers
  • Cryptocurrency
  • TVP-VAR
  • Sentiment
  • COVID-19

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