Identifying The Role of Investor Sentiment Proxies In NFT Market: Comparison Of Google Trend, Fear-Greed Index and VIX

14 Pages Posted: 8 Jun 2022 Last revised: 30 Jan 2024

See all articles by Samet Gunay

Samet Gunay

American University of the Middle East (AUM)

Shahnawaz Muhammed

American University of the Middle East (AUM)

Kata Váradi

Corvinus University of Budapest - Department of Finance

Date Written: April 21, 2022

Abstract

In this study, we explore the regime-dependent impact of three investor sentiment proxies on the Non-Fungible Tokens (NFTs) market. To that end, first, we create an NFT crypto index and assign the following variables to represent investor sentiment: Google Trend (GT), Fear and Greed (FG) Index, and Volatility Index (VIX). The empirical examination is conducted through Markov switching vector autoregression analysis and causality tests on obtained regimes. According to the results, regimes one and two in each model are detected as bull and bear markets, respectively. The LR test conducted through restricted autoregressive coefficients of the MS-VAR model indicate that GT Granger cause NFTs index in the bear market regime, whereas FG and VIX variables are significant in bull markets. Accordingly, it is concluded that as a proxy of public insight, GT becomes significant in the downward trend of NFTs. This finding can be attributed to the public interest that typically emerges subsequent to the peak of market bull runs. However, as an indicator of investor fear, FG and VIX indexes can be considered early-warning signals of trend reversals in bull markets.

Keywords: Non-Fungible Tokens, cryptocurrencies, Google trend, fear and greed index, volatility index

Suggested Citation

Gunay, Samet and Muhammed, Shahnawaz and Váradi, Kata, Identifying The Role of Investor Sentiment Proxies In NFT Market: Comparison Of Google Trend, Fear-Greed Index and VIX (April 21, 2022). Available at SSRN: https://ssrn.com/abstract=4120176 or http://dx.doi.org/10.2139/ssrn.4120176

Samet Gunay (Contact Author)

American University of the Middle East (AUM) ( email )

250 St.
Block 3, Building 1
Egaila
Kuwait

Shahnawaz Muhammed

American University of the Middle East (AUM) ( email )

250 St.
Block 3, Building 1
Egaila
Kuwait

Kata Váradi

Corvinus University of Budapest - Department of Finance ( email )

Fővám tér 8.
Budapest, 1093
Hungary

HOME PAGE: http://finance.uni-corvinus.hu/index.php?id=kata_varadi

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