Please use this identifier to cite or link to this item: https://scholarhub.balamand.edu.lb/handle/uob/7289
Title: Detecting and date-stamping bubbles in fan tokens
Authors: Assaf, Ata 
Demir, Ender
Ersan, Oguz
Affiliations: Department of Business Administration 
Keywords: Bitcoin
Fan token
GSADF
Price bubbles
SADF
Issue Date: 2024-04-01
Publisher: Elsevier
Part of: International Review of Economics and Finance
Volume: 92
Start page: 98
End page: 113
Abstract: 
We focus on the existence of bubbles in fan tokens, utilizing the Supremum Augmented Dickey-Fuller (SADF) and Generalized Supremum Augmented Dickey-Fuller (GSADF) tests. We use daily closing prices of the top 20 fan tokens according to their market capitalization, along with Bitcoin, Ethereum, and Chiliz. The evidence from the GSADF test results indicates that the prices of 13 out of 20 fan tokens and the three cryptocurrencies have explosive periods associated with bubbles. Our results also show that the percentage of bubble days is between 0 % and 5% for all fan tokens. Among the 13 fan tokens exhibiting bubble behavior in their prices, nine have multiple sub-periods associated with bubbles, while only four tokens have a single sub-period with explosive prices. Bubbles in token prices are short-lived bubbles; most last for a few days. As a robustness analysis, we also perform LPPLS (Log-Periodic Power Law Singularity), providing similar results. Further analysis shows that trading volume, fan token return, Economic Policy Uncertainty (EPU), Daily Infectious Disease Equity Market Volatility (EMVID) are positively associated with the presence of bubbles in fan token prices, while oil return is negatively associated with bubbles.
URI: https://scholarhub.balamand.edu.lb/handle/uob/7289
ISSN: 10590560
DOI: 10.1016/j.iref.2024.01.039
Ezproxy URL: Link to full text
Type: Journal Article
Appears in Collections:Department of Business Administration

Show full item record

SCOPUSTM   
Citations

2
checked on May 25, 2024

Record view(s)

15
checked on May 25, 2024

Google ScholarTM

Check

Dimensions Altmetric

Dimensions Altmetric


Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.