Chulalongkorn University Theses and Dissertations (Chula ETD)

Other Title (Parallel Title in Other Language of ETD)


Year (A.D.)


Document Type

Independent Study

First Advisor

Kanis Saengchote


Faculty of Commerce and Accountancy (คณะพาณิชยศาสตร์และการบัญชี)

Department (if any)

Department of Banking and Finance (ภาควิชาการธนาคารและการเงิน)

Degree Name

Master of Science

Degree Level

Master's Degree

Degree Discipline





In this research, we study an announcement effect of Facebook Inc.’s rebranding to Meta Platform Inc. in October 2021, as a flagship event that sheds spotlight to the metaverse business, on 50 metaverse-related cryptographic tokens. Using Google’s CausalImpact package in R with historical daily returns within -30,7 windows, the model expects a 11.80% counterfactual CAR but the actual CAR is 69.20%, indicating a 57.40% absolute effect of this announcement on aggregate metaverse tokens at 99% significant level. We also further regress five factors, namely game-fi, marketplace, holders, illiquidity, and VC factor on the post-announcement CAR. However, the result is sparse. Only the constant and marketplace factor shows a positive and negative, respectively, impact at 90% level. Our study makes two contributions; Firstly, the result indicates that metaverse tokens positively respond to the announcement in aggregate. Secondly, the abnormal returns of these tokens are mainly driven by the uniqueness of each token and the marketplace function is harmful to the abnormal returns.



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