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Non-Fungible Tokens (NFTs) and Cryptocurrencies: Efficiency and Comovements

2022-10Journal article Open access
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dc.contributor.authorÉder Pereira
dc.contributor.authorFerreira, Paulo
dc.contributor.authorQuintino, Derick
dc.date.accessioned2023-03-17T14:27:25Z
dc.date.available2023-03-17T14:27:25Z
dc.date.issued2022-10
dc.date.updated2023-02-20T12:15:02Z
dc.description.abstractNon-fungible tokens (NFTs) are a type of digital record of ownership used in a unique way: ensuring authenticity and uniqueness. Due to these characteristics, NFTs have been used in several markets: games, arts, and sports, among others. In 2020, the volume of negotiations of the NFTs was about USD 200 million. Despite the strong interest of economic agents in operating with NFTs, there are still gaps in the literature, regarding their dynamics and price interrelation with other potentially related assets, which deserve to be studied. In this sense, the main purpose in this paper is to analyze the cross-correlation between NFTs and larger cryptocurrencies. To this end, our methodological approach is based on a Detrended Cross-Correlation Analysis correlation coefficient, with a sliding windows approach. Our main finding is that the cross-correlations are not significant, except for a few cryptocurrencies, with weak significance at some moments of time. We also carried out an analysis of the long-term memory of NFTs, which demonstrated the antipersistence of these assets, with results seemingly corroborating the market inefficiency hypothesis. Our results are particularly important for different classes of investors, due to the analysis on different time scales.pt_PT
dc.description.versionN/Apt_PT
dc.identifier.doi10.3390/fintech1040023pt_PT
dc.identifier.slugcv-prod-3138223
dc.identifier.urihttp://hdl.handle.net/10400.26/44211
dc.language.isoengpt_PT
dc.peerreviewedyespt_PT
dc.relationResearch Center for Endogenous Resource Valorization
dc.subjectNon-fungible tokenspt_PT
dc.subjectDetrended fluctuation analysispt_PT
dc.subjectDetrended cross-correlation analysispt_PT
dc.subjectEfficiencypt_PT
dc.titleNon-Fungible Tokens (NFTs) and Cryptocurrencies: Efficiency and Comovementspt_PT
dc.typejournal article
dspace.entity.typePublication
oaire.awardTitleResearch Center for Endogenous Resource Valorization
oaire.awardURIinfo:eu-repo/grantAgreement/FCT/6817 - DCRRNI ID/UIDB%2F05064%2F2020/PT
oaire.citation.titleFinTechpt_PT
oaire.fundingStream6817 - DCRRNI ID
person.familyNameFerreira
person.familyNameQuintino
person.givenNamePaulo
person.givenNameDerick
person.identifier.ciencia-idB513-B46A-E5F3
person.identifier.ciencia-id5B10-E595-4CC7
person.identifier.orcid0000-0003-1951-889X
person.identifier.orcid0000-0002-9382-8442
person.identifier.ridP-9622-2016
person.identifier.scopus-author-id35745865300
project.funder.identifierhttp://doi.org/10.13039/501100001871
project.funder.nameFundação para a Ciência e a Tecnologia
rcaap.cv.cienciaidB513-B46A-E5F3 | Paulo Jorge Silveira Ferreira
rcaap.rightsopenAccesspt_PT
rcaap.typearticlept_PT
relation.isAuthorOfPublicationcef169d9-c594-4505-ab57-7c6f92868cb6
relation.isAuthorOfPublication0593de6e-e96b-427c-8979-f174ce462473
relation.isAuthorOfPublication.latestForDiscoverycef169d9-c594-4505-ab57-7c6f92868cb6
relation.isProjectOfPublication05110dfa-e1d5-4a80-ad88-5c36b9c4552f
relation.isProjectOfPublication.latestForDiscovery05110dfa-e1d5-4a80-ad88-5c36b9c4552f

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