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Metaverse Token Piyasasında Volatilite Yayılımı: TVP-VAR Modeli Uygulaması

Year 2024, Volume: 19 Issue: 3, 906 - 922

Nazlıgül Gülcan Fatma Mumcu Küçükçaylı

Abstract

Bu çalışmada, yatırımcılara yol göstermek amacıyla metaverse tokenler arasındaki volatilite yayılımı araştırılmıştır. Araştırmada Decentraland, StarLink, Axie Infinity, Radio Caca, The Sandbox, Internet Computer, My Neighbor Alice ve Enjin Token'in 12.14.2021-10.22.2023 dönemine ait fiyat verileri Antonakakis vd. (2019) tarafından geliştirilen zamanla değişen parametreli vektör otoregresif (TVP-VAR) modeli ile analiz edilmiştir. Araştırma sonucunda Radio Caca ve Axie Infinity'nin sadece volatilite alan; My Neighbor Alice ve Enjin Token'in sadece volatilite yayan; StarLink, Decentraland ve Internet Computer'ın ise hem volatilite alan hem de volatilite yayan metaverse tokenler olduğu belirlenmiştir.

Keywords

Metaverse Token Volatilite Yayılımı TVP-VAR

References

  • Ağırman, E. and Barakalı, O. C. (2022), “Finans ve Finansal Hizmetlerin Geleceği: Metaverse”, Avrasya Sosyal ve Ekonomi Araştırmaları Dergisi (ASEAD), 9(2): 329-346.
  • Aharon, D. Y. and Demir, E. (2022), “NFTs and Asset Class Spillovers: Lessons from the Period around the COVID-19 Pandemic”, Finance Research Letters, 47: 1-9.
  • Akkuş, H. T. and Çelik, İ. (2020), “Modeling, forecasting the cryptocurrency market volatility and value at risk dynamics of bitcoin”, Muhasebe Bilim Dünyası Dergisi, 22(2), 296-312.
  • Akkus, H. T., Gursoy, S., Dogan, M. and Demir, A. B. (2022), “Metaverse and Metaverse Cyrptocuurencies (Meta Coins): Bubles and Future?”, Journal of Economics, Finance and Accounting (JEFA), 9(1): 22-29.
  • Akkus, H. T, Gursoy, S. and Dogan, M. (2022), “The Volatility Spillover between NFT Investment Index and Global Technology Index: DCC-GARCH Application”, Research Journal of Business and Management (RJBM), 9(2): 85-91.
  • Akkus, H. T. and Dogan, M. (2023), “Analysis of Dynamic Connectedness Relationships between Cryptocurrency, NFT and DeFi assets: TVP-VAR Approach”, Applied Economics Letters, 1-6.
  • Alawadhi, K. M. and Alshamali, N. (2022), “NFTs Emergence in Financial Markets and their Correlation with DeFis and Cryptocurrencies”, Applied Economics and Finance, 9(1): 108-120.
  • Ali, S., Naveed, M., Yousaf, I. and Khattak, M. S. (2024), “From cryptos to consciousness: Dynamics of return and volatility spillover between green cryptocurrencies and G7 markets”, Finance Research Letters, 60, 104899.
  • Ante, L. (2021), “The Non-fungible Token (NFT) Market and Its Relationship with Bitcoin and Ethereum”, Blockchain Research Lab. Working Paper Series No. 20: 1-9.
  • Antonakakis, N., Cunado, J., Filis, G., Gabauer, D. and De Gracia, F. P. (2019), “Oil and Asset Classes Implied Volatilities: Dynamic Connectedness and Investment Strategies”, Available at SSRN 3399996. http://dx.doi.org/10.2139/ssrn.3399996, (Accessed 10.23.2023).
  • Aysan, A. F., Batten, J. A., Gozgor, G., Khalfaoui, R., & Nanaeva, Z. (2023), “Twitter matters for metaverse stocks amid economic uncertainty”, Finance Research Letters, 56, 104116.
  • Bakas, D., Magkonis, G. and Oh, E. Y. (2022), “What drives volatility in Bitcoin market?”. Finance Research Letters, 50, 103237.
  • Baur, D. G., Dimpfl, T. And Kuck, K. (2018), “Bitcoin, gold and the US dollar–A replication and extension”, Finance research letters, 25, 103-110.
  • Bouoiyour, J. and Selmi, R. (2015), “Bitcoin price: Is it really that new round of volatility can be on way?”, MPRA working paper.
  • Büberkökü, Ö. (2021), “Kripto Para Birimleri Arasındaki Getiri ve Volatilite Yayılımının İncelenmesi”, Çağ Üniversitesi Sosyal Bilimler Dergisi, 18(2): 1-16.
  • Büberkökü, Ö. (2022), “Metaverse Coin’lere Dayalı Finansal Analizler”, 5th International Izmir Economics Congress, İzmir/Turkey, 25-26 February 2022, 381-397.
  • Citi. (2022), “Metaverse and Money. Decrypting the Future”, Citi GPS: Global Perspectives and Solutions. Citigroup, New York City, NY. https://www.citigroup.com/global/insights/citigps/metaverse-and-money_20220330 , (Accessed 02.11.2024).
  • Chaim, P. and Laurini, M. P. (2018), “Volatility and return jumps in bitcoin. Economics Letters”, 173, 158-163. CoinCecko, 2021, 2022, 2023 Annual Cyrpto Industry Reports, https://www.coingecko.com/tr/publications/reports, (Accessed 14.03.2024).
  • Coinmarketcap, https://coinmarketcap.com/tr/, (Accessed 01.17.2023).
  • CryptoDep, Top #Metaverse Tokens by Market Capitalization, March 10, 2022, https://twitter.com/Crypto_Dep/status/1501863458341638147, (Accessed 01.17.2023).
  • Dictionary of Terms of the Central Bank of the Republic of Turkey, https://www.tcmb.gov.tr/wps/wcm/connect/0ce9fa91-e7f2-433c-b5bd-2ba67f35f2c4/TCMB-TerimlerSozlugu.pdf?MOD=AJPERES&CACHEID=0ce9fa91-e7f2-433c-b5bd-2ba67f35f2c4, (Accessed 11.16.2022).
  • Diebold, F. X. and Yilmaz, K. (2009), “Measuring Financial Asset Return and Volatil-ity Spillovers, with Application to Global Equity Markets”, Economic Journal, 119(534): 158-171.
  • Diebold, F. X. and Yilmaz, K. (2012), “Better to Give than to Receive: Predictive Directional Measurement of Volatility Spillovers”, International Journal of Forecasting, 28: 57-66.
  • Diebold, F. X. and Yilmaz, K. (2014), “On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms”, Journal of Econometrics, 182(1): 119-134.
  • Dowling, M. (2022), “Is Non-fungible Token Pricing Driven by Cryptocurrencies?”, Finance Research Letters, 44: 1-6.
  • Dwivedi, Y. K., Hughes, L., Baabdullah, A. M., Ribeiro-Navarrete, S., Giannakis, M., Al-Debei, M. M., Dennehy, D., Metri, B., Buhalis, D., …, Viglia, G. ve Wamba, S. F. (2022), “Metaverse Beyond the Hype: Multidisciplinary Perspectives on Emerging Challenges, Opportunities, and Agenda for Research, Practice and Policy”, International Journal of Information Management, 66: 1-55.
  • Dyhrberg, A. H. (2016), “Bitcoin, gold and the dollar–A GARCH volatility analysis”, Finance Research Letters, 16, 85-92.
  • Elliot, G., Rothenberg T. J. and Stock, J. H. (1996), “Efficient Tests for an Autoregressive Unit Root”, Econometrica, 64: 813-836.
  • Gubadlı, M. and Sarikovanlik, V. (2023), “Kripto Para Piyasasında Volatil Davranışların Asimetrik Stokastik Volatilite Modeli İle Testi”, Uluslararası Yönetim İktisat Ve İşletme Dergisi, 19(1), 61-82.
  • Güler, O. and Savaş, S. (2022), “Tüm Yönleriyle Metaverse Çalışmaları, Teknolojileri ve Geleceği”, Gazi Mühendislik Bilimleri Dergisi, 8(2): 292-319.
  • Horky, F. (2023), “The metaverse hype: identifying bubbles and comovements of metaverse tokens”, Journal of Chinese Economic and Business Studies, 1-25.
  • https://tr.investing.com, (Accessed 10.23.2023).
  • Karim, S., Lucey, B. M., Naeem, M. A. and Uddin, G. S. (2022), “Examining the Interrelatedness of NFTs, DeFi Tokens and Cryptocurrencies”, Finance Research Letters, 47: 1-8.
  • Kumar, A. S. and Anandarao, S. (2019), “Volatility spillover in crypto-currency markets: Some evidences from GARCH and wavelet analysis”, Physica A: statistical mechanics and its applications, 524, 448-458.
  • Lee, L. H., Braud, T., Zhou, P., Wang, L., Xu, D., Lin, Z., Kumar, A., Bermejo, C.& Hui, P. (2021), “All one needs to know about metaverse: A complete survey on technological singularity, virtual ecosystem, and research agenda”, Journal of Latex Class Fıles, 14(8), arXiv preprint arXiv:2110.05352.
  • Mystakidis, S. (2022), “Metaverse”, Encyclopedia, 2: 486-497.
  • Pinto-Gutiérrez, C., Gaitán, S., Jaramillo, D. and Velasquez, S. (2022), “The NFT Hype: What Draws Attention to Non-Fungible Tokens?”, Mathematics, 10(335): 1-13.
  • Sert, T. (2019), Sorularla Blockchain, Blockchain Türkiye, Türkiye Bilişim Vakfı Yayını, https://bctr.org/dokumanlar/Sorularla_Blockchain_Turan_Sert.pdf, (Accessed 12.05.2022).
  • Sert, T. (2022), Sorularla DeFi-Merkeziyetsiz Finans, İstanbul: Tefrika Yayıncılık, https://indd.adobe.com/view/5b99bb77-877f-47f7-a881-33ef427205b6, (Accessed 12.05.2022).
  • Sonmezer, S. and Çelik, G. G. (2022), “How Returns of Metaverse Tokens are Interrelated?”, International Journal of Social Sciences, 8(1): 213-223.
  • Steffen, J. H., Gaskin, J. E., Meservy, T. O., Jenkins, J. L. and Wolman, I. (2019), “Framework of Affordances for Virtual Reality and Augmented Reality”, Journal of Management Information Systems, 36(3): 683-729.
  • Şenol, Z., Gülcemal, T. and Çakan, O. (2022), “Kripto Paralarla Borsalar Arasındaki Volatilite Yayılımı”, Ekonomi Politika ve Finans Araştırmaları Dergisi, 7(4): 925-943.
  • Vidal-Tomás, D. (2022), “The New Crypto Niche: NFTs, Play-to-earn, and Metaverse Tokens”, Finance Research Letters, 47(1): 1-18.
  • Vidal-Tomás, D. (2023), “The illusion of the metaverse and meta-economy”, International Review of Financial Analysis, 86, 102560.
  • Yousaf, I. and Yarovaya, L. (2022), “Static and Dynamic Connectedness between NFTs, Defi and Other Assets: Portfolio Implication”, Global Finance Journal, 53, 100719.

The Volatility Spillover in Metaverse Token Market: TVP-VAR Model Application

Year 2024, Volume: 19 Issue: 3, 906 - 922

Nazlıgül Gülcan Fatma Mumcu Küçükçaylı

Abstract

In this study, the volatility spillover between metaverse tokens is investigated to guide investors. In the research, price data of Decentraland, StarLink, Axie Infinity, Radio Caca, The Sandbox, Internet Computer, My Neighbor Alice and Enjin Token, for the period 12.14.2021-10.22.2023 analyzes with the time-varying parameter vector autoregressive (TVP-VAR) model developed by Antonakakis et al. (2019). As a result of the research, it determine that Radio Caca and Axie Infinity only receive volatility; My Neighbor Alice and Enjin Token only spread volatility; StarLink, Decentraland and Internet Computer are metaverse tokens that both receive and spread volatility.

Keywords

Metaverse Token Volatility Spillover TVP-VAR

References

  • Ağırman, E. and Barakalı, O. C. (2022), “Finans ve Finansal Hizmetlerin Geleceği: Metaverse”, Avrasya Sosyal ve Ekonomi Araştırmaları Dergisi (ASEAD), 9(2): 329-346.
  • Aharon, D. Y. and Demir, E. (2022), “NFTs and Asset Class Spillovers: Lessons from the Period around the COVID-19 Pandemic”, Finance Research Letters, 47: 1-9.
  • Akkuş, H. T. and Çelik, İ. (2020), “Modeling, forecasting the cryptocurrency market volatility and value at risk dynamics of bitcoin”, Muhasebe Bilim Dünyası Dergisi, 22(2), 296-312.
  • Akkus, H. T., Gursoy, S., Dogan, M. and Demir, A. B. (2022), “Metaverse and Metaverse Cyrptocuurencies (Meta Coins): Bubles and Future?”, Journal of Economics, Finance and Accounting (JEFA), 9(1): 22-29.
  • Akkus, H. T, Gursoy, S. and Dogan, M. (2022), “The Volatility Spillover between NFT Investment Index and Global Technology Index: DCC-GARCH Application”, Research Journal of Business and Management (RJBM), 9(2): 85-91.
  • Akkus, H. T. and Dogan, M. (2023), “Analysis of Dynamic Connectedness Relationships between Cryptocurrency, NFT and DeFi assets: TVP-VAR Approach”, Applied Economics Letters, 1-6.
  • Alawadhi, K. M. and Alshamali, N. (2022), “NFTs Emergence in Financial Markets and their Correlation with DeFis and Cryptocurrencies”, Applied Economics and Finance, 9(1): 108-120.
  • Ali, S., Naveed, M., Yousaf, I. and Khattak, M. S. (2024), “From cryptos to consciousness: Dynamics of return and volatility spillover between green cryptocurrencies and G7 markets”, Finance Research Letters, 60, 104899.
  • Ante, L. (2021), “The Non-fungible Token (NFT) Market and Its Relationship with Bitcoin and Ethereum”, Blockchain Research Lab. Working Paper Series No. 20: 1-9.
  • Antonakakis, N., Cunado, J., Filis, G., Gabauer, D. and De Gracia, F. P. (2019), “Oil and Asset Classes Implied Volatilities: Dynamic Connectedness and Investment Strategies”, Available at SSRN 3399996. http://dx.doi.org/10.2139/ssrn.3399996, (Accessed 10.23.2023).
  • Aysan, A. F., Batten, J. A., Gozgor, G., Khalfaoui, R., & Nanaeva, Z. (2023), “Twitter matters for metaverse stocks amid economic uncertainty”, Finance Research Letters, 56, 104116.
  • Bakas, D., Magkonis, G. and Oh, E. Y. (2022), “What drives volatility in Bitcoin market?”. Finance Research Letters, 50, 103237.
  • Baur, D. G., Dimpfl, T. And Kuck, K. (2018), “Bitcoin, gold and the US dollar–A replication and extension”, Finance research letters, 25, 103-110.
  • Bouoiyour, J. and Selmi, R. (2015), “Bitcoin price: Is it really that new round of volatility can be on way?”, MPRA working paper.
  • Büberkökü, Ö. (2021), “Kripto Para Birimleri Arasındaki Getiri ve Volatilite Yayılımının İncelenmesi”, Çağ Üniversitesi Sosyal Bilimler Dergisi, 18(2): 1-16.
  • Büberkökü, Ö. (2022), “Metaverse Coin’lere Dayalı Finansal Analizler”, 5th International Izmir Economics Congress, İzmir/Turkey, 25-26 February 2022, 381-397.
  • Citi. (2022), “Metaverse and Money. Decrypting the Future”, Citi GPS: Global Perspectives and Solutions. Citigroup, New York City, NY. https://www.citigroup.com/global/insights/citigps/metaverse-and-money_20220330 , (Accessed 02.11.2024).
  • Chaim, P. and Laurini, M. P. (2018), “Volatility and return jumps in bitcoin. Economics Letters”, 173, 158-163. CoinCecko, 2021, 2022, 2023 Annual Cyrpto Industry Reports, https://www.coingecko.com/tr/publications/reports, (Accessed 14.03.2024).
  • Coinmarketcap, https://coinmarketcap.com/tr/, (Accessed 01.17.2023).
  • CryptoDep, Top #Metaverse Tokens by Market Capitalization, March 10, 2022, https://twitter.com/Crypto_Dep/status/1501863458341638147, (Accessed 01.17.2023).
  • Dictionary of Terms of the Central Bank of the Republic of Turkey, https://www.tcmb.gov.tr/wps/wcm/connect/0ce9fa91-e7f2-433c-b5bd-2ba67f35f2c4/TCMB-TerimlerSozlugu.pdf?MOD=AJPERES&CACHEID=0ce9fa91-e7f2-433c-b5bd-2ba67f35f2c4, (Accessed 11.16.2022).
  • Diebold, F. X. and Yilmaz, K. (2009), “Measuring Financial Asset Return and Volatil-ity Spillovers, with Application to Global Equity Markets”, Economic Journal, 119(534): 158-171.
  • Diebold, F. X. and Yilmaz, K. (2012), “Better to Give than to Receive: Predictive Directional Measurement of Volatility Spillovers”, International Journal of Forecasting, 28: 57-66.
  • Diebold, F. X. and Yilmaz, K. (2014), “On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms”, Journal of Econometrics, 182(1): 119-134.
  • Dowling, M. (2022), “Is Non-fungible Token Pricing Driven by Cryptocurrencies?”, Finance Research Letters, 44: 1-6.
  • Dwivedi, Y. K., Hughes, L., Baabdullah, A. M., Ribeiro-Navarrete, S., Giannakis, M., Al-Debei, M. M., Dennehy, D., Metri, B., Buhalis, D., …, Viglia, G. ve Wamba, S. F. (2022), “Metaverse Beyond the Hype: Multidisciplinary Perspectives on Emerging Challenges, Opportunities, and Agenda for Research, Practice and Policy”, International Journal of Information Management, 66: 1-55.
  • Dyhrberg, A. H. (2016), “Bitcoin, gold and the dollar–A GARCH volatility analysis”, Finance Research Letters, 16, 85-92.
  • Elliot, G., Rothenberg T. J. and Stock, J. H. (1996), “Efficient Tests for an Autoregressive Unit Root”, Econometrica, 64: 813-836.
  • Gubadlı, M. and Sarikovanlik, V. (2023), “Kripto Para Piyasasında Volatil Davranışların Asimetrik Stokastik Volatilite Modeli İle Testi”, Uluslararası Yönetim İktisat Ve İşletme Dergisi, 19(1), 61-82.
  • Güler, O. and Savaş, S. (2022), “Tüm Yönleriyle Metaverse Çalışmaları, Teknolojileri ve Geleceği”, Gazi Mühendislik Bilimleri Dergisi, 8(2): 292-319.
  • Horky, F. (2023), “The metaverse hype: identifying bubbles and comovements of metaverse tokens”, Journal of Chinese Economic and Business Studies, 1-25.
  • https://tr.investing.com, (Accessed 10.23.2023).
  • Karim, S., Lucey, B. M., Naeem, M. A. and Uddin, G. S. (2022), “Examining the Interrelatedness of NFTs, DeFi Tokens and Cryptocurrencies”, Finance Research Letters, 47: 1-8.
  • Kumar, A. S. and Anandarao, S. (2019), “Volatility spillover in crypto-currency markets: Some evidences from GARCH and wavelet analysis”, Physica A: statistical mechanics and its applications, 524, 448-458.
  • Lee, L. H., Braud, T., Zhou, P., Wang, L., Xu, D., Lin, Z., Kumar, A., Bermejo, C.& Hui, P. (2021), “All one needs to know about metaverse: A complete survey on technological singularity, virtual ecosystem, and research agenda”, Journal of Latex Class Fıles, 14(8), arXiv preprint arXiv:2110.05352.
  • Mystakidis, S. (2022), “Metaverse”, Encyclopedia, 2: 486-497.
  • Pinto-Gutiérrez, C., Gaitán, S., Jaramillo, D. and Velasquez, S. (2022), “The NFT Hype: What Draws Attention to Non-Fungible Tokens?”, Mathematics, 10(335): 1-13.
  • Sert, T. (2019), Sorularla Blockchain, Blockchain Türkiye, Türkiye Bilişim Vakfı Yayını, https://bctr.org/dokumanlar/Sorularla_Blockchain_Turan_Sert.pdf, (Accessed 12.05.2022).
  • Sert, T. (2022), Sorularla DeFi-Merkeziyetsiz Finans, İstanbul: Tefrika Yayıncılık, https://indd.adobe.com/view/5b99bb77-877f-47f7-a881-33ef427205b6, (Accessed 12.05.2022).
  • Sonmezer, S. and Çelik, G. G. (2022), “How Returns of Metaverse Tokens are Interrelated?”, International Journal of Social Sciences, 8(1): 213-223.
  • Steffen, J. H., Gaskin, J. E., Meservy, T. O., Jenkins, J. L. and Wolman, I. (2019), “Framework of Affordances for Virtual Reality and Augmented Reality”, Journal of Management Information Systems, 36(3): 683-729.
  • Şenol, Z., Gülcemal, T. and Çakan, O. (2022), “Kripto Paralarla Borsalar Arasındaki Volatilite Yayılımı”, Ekonomi Politika ve Finans Araştırmaları Dergisi, 7(4): 925-943.
  • Vidal-Tomás, D. (2022), “The New Crypto Niche: NFTs, Play-to-earn, and Metaverse Tokens”, Finance Research Letters, 47(1): 1-18.
  • Vidal-Tomás, D. (2023), “The illusion of the metaverse and meta-economy”, International Review of Financial Analysis, 86, 102560.
  • Yousaf, I. and Yarovaya, L. (2022), “Static and Dynamic Connectedness between NFTs, Defi and Other Assets: Portfolio Implication”, Global Finance Journal, 53, 100719.
There are 45 citations in total.

Details

Primary Language English
Subjects Finance
Journal Section Articles
Authors

Nazlıgül Gülcan 0000-0002-1390-0820

Fatma Mumcu Küçükçaylı 0000-0002-0838-1958

Publication Date
Submission Date December 2, 2023
Acceptance Date April 6, 2024
Published in Issue Year 2024 Volume: 19 Issue: 3

Cite

APA Gülcan, N., & Mumcu Küçükçaylı, F. (n.d.). The Volatility Spillover in Metaverse Token Market: TVP-VAR Model Application. Eskişehir Osmangazi Üniversitesi İktisadi Ve İdari Bilimler Dergisi, 19(3), 906-922.
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