Price Anomalies in Non-Fungible Token Coins

Abstract

Using a variety of parametric and non-parametric tests, this study investigates the price effects of one-day abnormal returns and the day-of-the-week effect in selected non-fungible token (NFT) coins. The results, based on the data of four NFT coins (Mana, Theta, Enj, and Waxp) observed from January 2018 to July 2022, show that there are differences in pricing patterns across the four NFTs. First, NFT coins’ prices tend to exhibit contrarian movements following one-day abnormal returns, especially in Theta, in line with the overreaction hypothesis. Second, the day-of-the-week effect is significant for Mana, where prices tend to abnormally increase during the weekend. Finally, trading strategies based on price patterns identified in Theta and Mana generate abnormal profits.