Bubbles All the Way Down? Detecting and Date-Stamping Bubble Behaviour in DeFi and NFT Markets

21 Pages Posted: 6 Apr 2022

See all articles by Yizhi Wang

Yizhi Wang

Trinity College (Dublin) - Trinity Business School

Brian M. Lucey

Trinity Business School, Trinity College Dublin; Ho Chi Minh City University of Economics and Finance; Jiangxi University of Finance and Economics

Samuel Vigne

Trinity College (Dublin) - Trinity Business School

Multiple version iconThere are 2 versions of this paper

Date Written: February 18, 2022

Abstract

Amid surging market values and widespread regulatory discussion, NFT and DeFi markets are widely perceived as being simply speculative, bubble, assets. This paper detects the existence and dates of price bubbles in the NFT and DeFi market by applying SADF and GSADF tests. We document that NFT and DeFi markets both exhibit speculative bubbles, and NFT bubbles are more recurrent and have higher magnitudes than DeFi bubbles. The price bubbles in the NFT and DeFi markets are highly correlated with market hype and with more general cryptocurrency market uncertainty. We do find periods where bubbles are not detected, suggesting that these markets do have some intrinsic value and should not be dismissed as simply bubbles.

Keywords: NFT, DeFi, Price bubbles, SADF and GSADF, Explosiveness

JEL Classification: C58;,G14, G41

Suggested Citation

Wang, Yizhi and Lucey, Brian M. and Vigne, Samuel, Bubbles All the Way Down? Detecting and Date-Stamping Bubble Behaviour in DeFi and NFT Markets (February 18, 2022). Available at SSRN: https://ssrn.com/abstract=4038320 or http://dx.doi.org/10.2139/ssrn.4038320

Yizhi Wang (Contact Author)

Trinity College (Dublin) - Trinity Business School ( email )

Aras an Phiarsaigh
College Green
Dublin, Leinster D2
Ireland

Brian M. Lucey

Trinity Business School, Trinity College Dublin ( email )

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Ho Chi Minh City University of Economics and Finance ( email )

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Ho Chi Minh City, Ho Chi Minh 70000
Vietnam

Jiangxi University of Finance and Economics ( email )

South Lushan Road
Nanchang, Jiangxi 330013
China

Samuel Vigne

Trinity College (Dublin) - Trinity Business School ( email )

Aras an Phiarsaigh
College Green
Dublin, Leinster D2
Ireland

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