The dynamics of cryptocurrency market from behavioral finance perspective

IF 3.9 2区经济学 Q1 BUSINESS, FINANCE

Journal of Behavioral and Experimental Finance Pub Date : 2026-03-01 Epub Date: 2025-12-15 DOI:10.1016/j.jbef.2025.101126

Basma Almisshal, Halil İbrahim Bulut

引用次数: 0

Abstract

This study constructs a Composite Investor Sentiment Index (CIST) integrating six behavioral and market-based proxies to examine how investor sentiment influences cryptocurrency returns and volatility. Using weekly data from March 2018-July 2023, we decompose sentiment into rational and irrational components via ARDL and analyze dynamic effects through VAR and impulse responses. The first principal component explains almost 70 % of total variance. Results show that rational sentiment exerts persistent, long-run effects on returns and volatility, while irrational sentiment causes short-lived volatility spikes. The findings advance behavioral finance by demonstrating that distinguishing cognitive from emotional investor reactions enhances understanding of cryptocurrency market behavior.

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行为金融学视角下的加密货币市场动态

本研究构建了一个综合投资者情绪指数（CIST），整合了六个行为和市场代理，以检验投资者情绪如何影响加密货币的回报和波动性。利用2018年3月至2023年7月的周数据，通过ARDL将情绪分解为理性和非理性成分，并通过VAR和脉冲响应分析动态效应。第一个主成分解释了几乎70% %的总方差。结果表明，理性情绪对收益和波动产生持续的、长期的影响，而非理性情绪导致短期波动峰值。研究结果表明，区分投资者的认知反应和情绪反应可以增强对加密货币市场行为的理解，从而推动了行为金融学的发展。

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 Behavioral and Experimental Finance BUSINESS, FINANCE-

CiteScore

13.20

自引率

6.10%

发文量

审稿时长

69 days

期刊介绍： Behavioral and Experimental Finance represent lenses and approaches through which we can view financial decision-making. The aim of the journal is to publish high quality research in all fields of finance, where such research is carried out with a behavioral perspective and / or is carried out via experimental methods. It is open to but not limited to papers which cover investigations of biases, the role of various neurological markers in financial decision making, national and organizational culture as it impacts financial decision making, sentiment and asset pricing, the design and implementation of experiments to investigate financial decision making and trading, methodological experiments, and natural experiments. Journal of Behavioral and Experimental Finance welcomes full-length and short letter papers in the area of behavioral finance and experimental finance. The focus is on rapid dissemination of high-impact research in these areas.