镇上来了只新狼?加密货币市场上的抽仓操纵

IF 5.6 2区经济学 Q1 BUSINESS, FINANCE

Review of Finance Pub Date : 2022-08-04 DOI:10.1093/rof/rfac051

Anirudh Dhawan, Tālis J Putniņš

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引用次数: 0

摘要

我们调查了广泛参与加密货币泵和转储操纵计划的难题。与股票市场操纵者,cryptocurrency操纵者公开宣布自己的意图泵特定的硬币,而不是试图欺骗投资者。令人费解的是，尽管预期收益为负，人们还是加入了进来。在一个简单的框架中，我们展示了过度自信和赌博偏好如何解释这些计划的参与。分析了六个月内355个案例的样本，我们发现这两种机制都有强有力的实证支持。泵会造成平均65%的极端价格扭曲，数百万美元的异常交易量，以及参与者之间的巨额财富转移。

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A new wolf in town? Pump-and-dump manipulation in cryptocurrency markets

We investigate the puzzle of widespread participation in cryptocurrency pump-and-dump manipulation schemes. Unlike stock market manipulators, cryptocurrency manipulators openly declare their intentions to pump specific coins, rather than trying to deceive investors. Puzzlingly, people join in despite negative expected returns. In a simple framework, we demonstrate how overconfidence and gambling preferences can explain participation in these schemes. Analyzing a sample of 355 cases in six months, we find strong empirical support for both mechanisms. Pumps generate extreme price distortions of 65% on average, abnormal trading volumes in the millions of dollars, and large wealth transfers between participants.

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来源期刊

Review of Finance Multiple-

CiteScore

7.80

自引率

2.30%

发文量

期刊介绍： The Review of Finance, the official journal of the European Finance Association, aims at a wide circulation and visibility in the finance profession. The journal publishes high-quality papers in all areas of financial economics, both established and newly developing fields: • •Asset pricing •Corporate finance •Banking and market microstructure •Law and finance •Behavioral finance •Experimental finance Review of Finance occasionally publishes special issues on timely topics, including selected papers presented at the meetings of the European Finance Association or at other selected conferences in the field.