Bitcoin price volatility: Effects of retail traders, illegal users, and sentiment

IF 7.2 1区经济学 Q1 BUSINESS, FINANCE

Journal of Corporate Finance Pub Date : 2025-06-06 DOI:10.1016/j.jcorpfin.2025.102837

Kose John , Jingrui Li

引用次数: 0

Abstract

In this paper, we study the determinants of Bitcoin volatility. We estimate and decompose Bitcoin's realized volatility into jump volatility and continuous volatility components. We find that innovations in Robinhood retail trading are positively related to the continuous component of Bitcoin's volatility. Specifically, the innovations in Robinhood retail trading predict an increase in future ten-day continuous volatility. The innovations in the (anonymous) trading volume of Monero are also positively related to the jump component in Bitcoin's volatility. Specifically, the innovations in Monero trading volume predict an increase in average jump volatility over the next five days. Our results suggest that retail trading positively influences the continuous component of Bitcoin volatility, while the preference for transaction anonymity positively affects the jump component of Bitcoin volatility.

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比特币价格波动：零售交易者、非法用户和市场情绪的影响

在本文中，我们研究了比特币波动的决定因素。我们估计并分解比特币的已实现波动率为跳跃波动率和连续波动率两个分量。我们发现罗宾汉零售交易的创新与比特币波动性的连续成分呈正相关。具体来说，罗宾汉零售交易的创新预测了未来10天连续波动的增加。门罗币（匿名）交易量的创新也与比特币波动性的跳跃部分呈正相关。具体来说，门罗币交易量的创新预测了未来五天平均跳涨波动的增加。我们的研究结果表明，零售交易正向影响比特币波动率的连续分量，而交易匿名偏好正向影响比特币波动率的跳跃分量。

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

Journal of Corporate Finance BUSINESS, FINANCE-

CiteScore

11.80

自引率

3.30%

发文量

期刊介绍： The Journal of Corporate Finance aims to publish high quality, original manuscripts that analyze issues related to corporate finance. Contributions can be of a theoretical, empirical, or clinical nature. Topical areas of interest include, but are not limited to: financial structure, payout policies, corporate restructuring, financial contracts, corporate governance arrangements, the economics of organizations, the influence of legal structures, and international financial management. Papers that apply asset pricing and microstructure analysis to corporate finance issues are also welcome.