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Asymmetries in factors influencing non-fungible tokens’ (NFTs) returns

Author

Listed:
  • Botond Benedek

    (Babeș-Bolyai University)

  • Bálint Zsolt Nagy

    (Babeș-Bolyai University)

Abstract

The asymmetries of factors influencing the return of cryptocurrencies have already been well documented; however, in the case of NFTs, only information asymmetries and hedging properties related to asymmetries were studied. Therefore, the present study examines factors affecting NFT returns, from market-related factors (crypto-market index return and stock market index return) to the Amihud illiquidity ratio and Google search trends during different market conditions. The wavelet coherences-based methodology was applied separately during the boom, bust, normal, and turbulent periods identified by structural breakpoints. Based on 14 NFT projects between April 2019 and July 2022, results show two fundamental asymmetries influencing these NFT returns. First, there is an asymmetry in the behavior of the factors in different periods; second, there is an asymmetry in how illiquidity manifests itself over NFTs that do or do not possess cash flow-generating potential.

Suggested Citation

  • Botond Benedek & Bálint Zsolt Nagy, 2025. "Asymmetries in factors influencing non-fungible tokens’ (NFTs) returns," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 11(1), pages 1-20, December.
    • Handle: RePEc:spr:fininn:v:11:y:2025:i:1:d:10.1186_s40854-024-00672-w
    DOI: 10.1186/s40854-024-00672-w
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    Keywords

    Non-fungible tokens; Partial wavelet coherence; Multiple wavelet coherence; Multiple endogenous structural breaks;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics

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