ON THE EFFECTS OF INFORMATION ASYMMETRY IN DIGITAL CURRENCY TRADING

IF 5.9 3区管理学 Q1 BUSINESS

Electronic Commerce Research and Applications Pub Date : 2024-01-26 DOI:10.1016/j.elerap.2024.101366

Kwansoo Kim , Robert J. Kauffman

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引用次数: 0

Abstract

We report on two studies that examine how social sentiment influences information asymmetry in digital currency markets. We also assess whether cryptocurrency can be an investment vehicle, as opposed to only an instrument for asset speculation. Using a dataset on transactions from an exchange in South Korea and sentiment from Korean social media in 2018, we conducted a study of different trading behavior under two cryptocurrency trading market microstructures: a bid-ask spread dealer’s market and a continuous trading buy-sell, immediate trade execution market. Our results highlight the impacts of positive and negative trader social sentiment valences on the effects of information asymmetry on observed trading patterns. This includes the spillover effect of volatile social sentiment, and the leverage effect when a cryptocurrency’s value falls or rises in response to changing sentiment. Our results highlight how volatility arises in parallel with investors’ reactions to public information and trade transaction volume. If the price falls beyond participants’ expectations, a negative shock from new information may lead to more volatile social sentiment than a positive shock of the same size does. Our work supports the roles of investment and speculation for cryptocurrency by identifying an immediate impulse and a longer-term effect of economic variables in the presence of sentiment-led information asymmetry. We contribute new knowledge to the interdisciplinary literature on the financial economics of digital currency for a technological innovation that has matured earlier than many observers may realize.

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论数字货币交易中信息不对称的影响

我们报告了两项研究，探讨了社会情绪如何影响数字货币市场的信息不对称。我们还评估了加密货币是否可以成为一种投资工具，而不仅仅是一种资产投机工具。利用 2018 年韩国一家交易所的交易数据集和韩国社交媒体的情绪，我们对两种加密货币交易市场微观结构下的不同交易行为进行了研究：买卖价差交易商市场和连续交易买卖、即时交易执行市场。我们的研究结果强调了交易者积极和消极的社会情绪值对信息不对称对观察到的交易模式的影响。这包括波动性社会情绪的溢出效应，以及加密货币价值随情绪变化而下跌或上涨时的杠杆效应。我们的研究结果强调了波动是如何与投资者对公共信息和交易量的反应同步产生的。如果价格下跌超出参与者的预期，新信息带来的负面冲击可能会比同等规模的正面冲击导致更多的社会情绪波动。我们的工作支持了加密货币的投资和投机作用，确定了在情绪主导的信息不对称情况下经济变量的即时冲动和长期影响。我们为有关数字货币金融经济学的跨学科文献贡献了有关数字货币的新知识，因为这一技术创新的成熟比许多观察者可能意识到的要早。(239字)

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Electronic Commerce Research and Applications 工程技术-计算机：跨学科应用

CiteScore

10.10

自引率

8.30%

发文量

审稿时长

63 days

期刊介绍： Electronic Commerce Research and Applications aims to create and disseminate enduring knowledge for the fast-changing e-commerce environment. A major dilemma in e-commerce research is how to achieve a balance between the currency and the life span of knowledge. Electronic Commerce Research and Applications will contribute to the establishment of a research community to create the knowledge, technology, theory, and applications for the development of electronic commerce. This is targeted at the intersection of technological potential and business aims.