基于加密货币价格的移动

IF 5.6 2区经济学 Q1 BUSINESS, FINANCE

International Review of Economics & Finance Pub Date : 2025-09-24 DOI:10.1016/j.iref.2025.104635

Lai T. Hoang

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引用次数: 0

摘要

这项研究表明，具有相似价格的加密货币的回报会一起移动。这种基于价格的波动独立于其他加密货币众所周知的常见风险因素引起的波动，包括规模、动量、过去的回报、过去的交易量或市场回报。结果对其他估计方法和数据频率具有鲁棒性。进一步的分析表明，在投资者情绪高涨的时期，这种关系变得更强，表现出长期的逆转，并在模因币的样本中成立。这些发现支持基于情绪的回报变动解释。

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Cryptocurrency price-based comovement

This study shows that returns of cryptocurrencies with similar prices move together. This price-based comovement is independent of comovements caused by other cryptocurrencies’ well-known common risk factors including size, momentum, past returns, past trading volume, or market returns. The results are robust to alternative estimation methods and data frequencies. Additional analysis shows that the relationship becomes stronger during periods of high investor sentiment, exhibits a long-run reversal, and holds within a sample of memecoins. These findings support a sentiment-based explanation of return comovement.

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来源期刊

International Review of Economics & Finance Multiple-

CiteScore

7.30

自引率

2.20%

发文量

253

期刊介绍： The International Review of Economics & Finance (IREF) is a scholarly journal devoted to the publication of high quality theoretical and empirical articles in all areas of international economics, macroeconomics and financial economics. Contributions that facilitate the communications between the real and the financial sectors of the economy are of particular interest.