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NFTs versus conventional cryptocurrencies: A comparative analysis of market efficiency around COVID-19 and the Russia-Ukraine conflict

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  • Okorie, David Iheke
  • Bouri, Elie
  • Mazur, Mieszko

Abstract

This paper examines the efficiency of the market for non-fungible tokens (NFTs) against the backdrop of the market for fungible tokens (FTs) that includes Bitcoin and Ethereum. We focus on two important shocks: the outbreak of COVID-19 and the Russia-Ukraine conflict. To this end, we employ martingale difference sequence and conditional heteroscedasticity estimation techniques. We find that the efficiency of both markets fluctuates in time and the aforementioned shocks have a profound effect on FTs and NFTs. More specifically, we find that the effect of COVID-19 is heterogeneous for both markets, whereas that of the Russian invasion of Ukraine is homogenous for NFTs but heterogeneous for FTs.

Suggested Citation

  • Okorie, David Iheke & Bouri, Elie & Mazur, Mieszko, 2024. "NFTs versus conventional cryptocurrencies: A comparative analysis of market efficiency around COVID-19 and the Russia-Ukraine conflict," The Quarterly Review of Economics and Finance, Elsevier, vol. 95(C), pages 126-151.
    • Handle: RePEc:eee:quaeco:v:95:y:2024:i:c:p:126-151
    DOI: 10.1016/j.qref.2024.03.001
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    More about this item

    Keywords

    Market efficiency; cryptocurrencies; Adaptive markets hypothesis; Non-fungible tokens (NFTs); Bitcoin; Russia-Ukraine conflict; covid-19; blockchain;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • G01 - Financial Economics - - General - - - Financial Crises
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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