Financial dynamics of digital assets: crypto futures, NFTs and the metaverse

Abstract

This dissertation examines the financial dynamics of emerging digital assets by analyzing three pivotal domains: crypto futures, non-fungible tokens (NFTs), and the metaverse economy. Through empirical investigations and advanced modeling, it contributes to understanding how digital asset markets function, what drives their valuation, and how their future trajectories can be assessed. The first study explores price discovery between spot and futures markets for Bitcoin and Ether. By applying information share, component share, and information leadership share methodologies to high-frequency data, the analysis investigates whether futures markets dominate in incorporating new information or whether spot markets continue to lead. The findings reveal distinct dynamics between Bitcoin and Ether, with robustness checks confirming the persistence of futures-led price discovery in certain conditions, carrying implications for traders, exchanges, and regulators. The second study investigates determinants of NFT prices using an exploratory approach. Drawing on a comprehensive dataset, it tests how factors such as rarity, artist reputation, collection effects, and market sentiment influence valuation. By applying econometric and statistical modeling, the study uncovers that while scarcity and creator visibility play significant roles, speculative dynamics and network effects often dominate, leading to high volatility and difficulty in establishing intrinsic value. The third study addresses the question “Is the metaverse dead?” by focusing on Decentraland as a case study. Using Seasonal ARIMA and Log-Periodic Power Law Singularity (LPPLS) models, the research evaluates both the short-term forecasting accuracy and the existence of speculative bubbles in metaverse-related assets. The results indicate limited sustained user growth and significant bubble-like behavior in virtual land prices, highlighting the challenges of aligning metaverse narratives with economic realities. Together, these three essays provide a multifaceted view of digital asset markets. They demonstrate that while innovations such as crypto futures, NFTs, and metaverse platforms have transformed financial ecosystems, they remain highly speculative, vulnerable to bubbles, and subject to behavioral drivers beyond fundamental valuation. The dissertation offers theoretical contributions to financial economics and practical insights for investors, policymakers, and technologists navigating the uncertain terrain of digital asset markets.