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Detecting and date-stamping bubbles in fan tokens

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dc.title Detecting and date-stamping bubbles in fan tokens en
dc.contributor.author Assaf, Ata
dc.contributor.author Demir, Ender
dc.contributor.author Ersan, Oguz
dc.relation.ispartof International Review of Economics and Finance
dc.identifier.issn 1059-0560 Scopus Sources, Sherpa/RoMEO, JCR
dc.identifier.issn 1873-8036 Scopus Sources, Sherpa/RoMEO, JCR
dc.date.issued 2024
utb.relation.volume 92
dc.citation.spage 98
dc.citation.epage 113
dc.type article
dc.language.iso en
dc.publisher Elsevier
dc.identifier.doi 10.1016/j.iref.2024.01.039
dc.relation.uri https://www.sciencedirect.com/science/article/pii/S1059056024000406
dc.relation.uri https://www.sciencedirect.com/science/article/pii/S1059056024000406/pdfft?md5=cdfb24e7288cb19b3a85cdf63dec462e&pid=1-s2.0-S1059056024000406-main.pdf
dc.subject Bitcoin en
dc.subject fan token en
dc.subject GSADF en
dc.subject price bubbles en
dc.subject SADF en
dc.description.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. en
utb.faculty Faculty of Management and Economics
dc.identifier.uri http://hdl.handle.net/10563/1011967
utb.identifier.scopus 2-s2.0-85187312743
utb.identifier.wok 001188708200001
utb.source j-scopus
dc.date.accessioned 2024-04-17T13:13:05Z
dc.date.available 2024-04-17T13:13:05Z
utb.ou Department of Business Administration
utb.contributor.internalauthor Demir, Ender
utb.fulltext.affiliation Ata Assaf a, Ender Demir b c, Oguz Ersan d a Faculty of Business and Management, University of Balamand, P.O.Box: 100, Tripoli, Lebanon b Department of Business Administration, School of Social Sciences, Reykjavik University, Reykjavik, Iceland c Department of Business Administration, Faculty of Management and Economics, Tomas Bata University in Zlin, Zlin, Czech Republic d Department of International Trade and Finance, Faculty of Economics, Administrative and Social Sciences, Kadir Has University, Istanbul, Turkey
utb.fulltext.dates Received 15 March 2023 Received in revised form 4 November 2023 Accepted 17 January 2024 Available online 1 February 2024
utb.fulltext.sponsorship -
utb.wos.affiliation [Assaf, Ata] Univ Balamand, Fac Business & Management, POB 100, Tripoli, Lebanon; [Demir, Ender] Reykjavik Univ, Sch Social Sci, Dept Business Adm, Reykjavik, Iceland; [Demir, Ender] Tomas Bata Univ Zlin, Fac Management & Econ, Dept Business Adm, Zlin, Czech Republic; [Ersan, Oguz] Kadir Has Univ, Fac Econ Adm & Social Sci, Dept Int Trade & Finance, Istanbul, Turkiye
utb.scopus.affiliation Faculty of Business and Management, University of Balamand, P.O.Box: 100, Tripoli, Lebanon; Department of Business Administration, School of Social Sciences, Reykjavik University, Reykjavik, Iceland; Department of Business Administration, Faculty of Management and Economics, Tomas Bata University in Zlin, Zlin, Czech Republic; Department of International Trade and Finance, Faculty of Economics, Administrative and Social Sciences, Kadir Has University, Istanbul, Turkey
utb.fulltext.projects -
utb.fulltext.faculty Faculty of Management and Economics
utb.fulltext.ou Department of Business Administration
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