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The impact of retail investor attention on the returns, trading volume and volatility of non-fungible tokens
Non-fungible tokens (NFTs) increased in popularity dramatically in 2021 and the early parts of 2022. Individuals who trade NFTs are typically retail investors who obtain their information from public resources. Literature such as Kristoufek (2013), Nasir et al. (2019) and Li et al. (2021) shows that...
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| Format: | Thesis |
| Language: | English |
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Department of Finance and Tax
2024
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| _version_ | 1867613140493008896 |
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| access_status_str | Open Access |
| author | Aboobaker, Mishal |
| author2 | Charteris, Ailie |
| author_browse | Aboobaker, Mishal Charteris, Ailie |
| author_facet | Charteris, Ailie Aboobaker, Mishal |
| author_sort | Aboobaker, Mishal |
| collection | Thesis |
| description | Non-fungible tokens (NFTs) increased in popularity dramatically in 2021 and the early parts of 2022. Individuals who trade NFTs are typically retail investors who obtain their information from public resources. Literature such as Kristoufek (2013), Nasir et al. (2019) and Li et al. (2021) shows that investor attention, especially retail investor attention, impacts the returns, volatility and trading volume of stocks and cryptocurrencies, although there is mixed evidence as to whether the impact on returns is negative or positive. This study evaluates whether retail investor attention impacts the returns, trading volume and volatility of NFTs. Drawing from studies including Da et al. (2011) and Kristoufek (2013) that suggest increased internet searches reflect heightened investor attention, a Google Search Volume index comprising 13 popular search terms related to NFTs is created to quantify investor attention on this asset class. The returns, trading volume and volatility of six NFT collections are examined. Using ordinary least squares, regression results show that contemporaneous and lagged investor attention has only a minor impact on NFT returns, volatility and trading volume. Wavelet analysis confirms that the association between investor attention and returns, volatility and trading volume is small for the six NFT collections but, where there is an association, it is predominantly over medium- and long-term horizons (whereby 33 to 128 days are defined as the medium run and values greater than 129 days are considered to represent the long run). Furthermore, it revealed some evidence of a relationship in the opposite direction (i.e. investor attention may respond to market movements). Overall, these results suggest that attention on this new asset class has little impact on the trading, pricing or volatility of NFTs. |
| format | Thesis |
| id | oai:open.uct.ac.za:11427/39178 |
| institution | University of Cape Town (South Africa) |
| language | eng |
| last_indexed | 2026-06-10T12:31:24.573Z |
| license_str | Not specified — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UCTD — University of Cape Town Open Access Repository |
| publishDate | 2024 |
| publishDateRange | 2024 |
| publishDateSort | 2024 |
| publisher | Department of Finance and Tax |
| publisherStr | Department of Finance and Tax |
| record_format | dspace |
| source_str | UCTD — University of Cape Town Open Access Repository |
| spelling | oai:open.uct.ac.za:11427/39178 The impact of retail investor attention on the returns, trading volume and volatility of non-fungible tokens Aboobaker, Mishal Charteris, Ailie Investment Management Non-fungible tokens (NFTs) increased in popularity dramatically in 2021 and the early parts of 2022. Individuals who trade NFTs are typically retail investors who obtain their information from public resources. Literature such as Kristoufek (2013), Nasir et al. (2019) and Li et al. (2021) shows that investor attention, especially retail investor attention, impacts the returns, volatility and trading volume of stocks and cryptocurrencies, although there is mixed evidence as to whether the impact on returns is negative or positive. This study evaluates whether retail investor attention impacts the returns, trading volume and volatility of NFTs. Drawing from studies including Da et al. (2011) and Kristoufek (2013) that suggest increased internet searches reflect heightened investor attention, a Google Search Volume index comprising 13 popular search terms related to NFTs is created to quantify investor attention on this asset class. The returns, trading volume and volatility of six NFT collections are examined. Using ordinary least squares, regression results show that contemporaneous and lagged investor attention has only a minor impact on NFT returns, volatility and trading volume. Wavelet analysis confirms that the association between investor attention and returns, volatility and trading volume is small for the six NFT collections but, where there is an association, it is predominantly over medium- and long-term horizons (whereby 33 to 128 days are defined as the medium run and values greater than 129 days are considered to represent the long run). Furthermore, it revealed some evidence of a relationship in the opposite direction (i.e. investor attention may respond to market movements). Overall, these results suggest that attention on this new asset class has little impact on the trading, pricing or volatility of NFTs. 2024-03-05T07:34:08Z 2024-03-05T07:34:08Z 2023 2024-03-05T07:06:55Z Thesis / Dissertation Masters MCom http://hdl.handle.net/11427/39178 eng application/pdf Department of Finance and Tax Faculty of Commerce |
| spellingShingle | Investment Management Aboobaker, Mishal The impact of retail investor attention on the returns, trading volume and volatility of non-fungible tokens |
| thesis_degree_str | Master's |
| title | The impact of retail investor attention on the returns, trading volume and volatility of non-fungible tokens |
| title_full | The impact of retail investor attention on the returns, trading volume and volatility of non-fungible tokens |
| title_fullStr | The impact of retail investor attention on the returns, trading volume and volatility of non-fungible tokens |
| title_full_unstemmed | The impact of retail investor attention on the returns, trading volume and volatility of non-fungible tokens |
| title_short | The impact of retail investor attention on the returns, trading volume and volatility of non-fungible tokens |
| title_sort | impact of retail investor attention on the returns trading volume and volatility of non fungible tokens |
| topic | Investment Management |
| url | http://hdl.handle.net/11427/39178 |
| work_keys_str_mv | AT aboobakermishal theimpactofretailinvestorattentiononthereturnstradingvolumeandvolatilityofnonfungibletokens AT aboobakermishal impactofretailinvestorattentiononthereturnstradingvolumeandvolatilityofnonfungibletokens |