加密货币市场:对新闻的过度反应和羊群本能

IF 0.4 Q4 ECONOMICS
M. Malkina, V. Ovchinnikov
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引用次数: 3

摘要

我们研究了加密货币市场的具体属性。在隐含波动率概念的指导下,我们研究了市场对新闻的不对称反应。基于已实现波动率的概念,我们验证了市场羊群行为的假设。为了测试市场的性质,我们使用了多种方法的组合,从分析搜索查询的统计数据开始,将其解释为专业市场参与者和“广泛人群”的信息需求的代理,到高级马尔可夫切换GARCH模型和实现波动性的异构自回归模型(HAR-RV-J模型)结束。因此,我们发现加密货币市场对与其动态的总体方向(增长或下降)和回报波动幅度(高或低波动)有关的新闻的各种类型的不对称反应。在价格上涨和市场过热期间,投资者有意避开坏消息;因此加密货币市场的不对称性与所采用的杠杆效应相反。相反,在价格下跌的涨势中,市场参与者对坏消息反应过度。此外,在市场低波动期观察到的对消息的不对称反应实际上在加密货币回报波动幅度增加时消失了。短期投资者的行为在研究期间也有所不同。虽然在市场增长期间,小投机者更有可能遵循自己的交易策略,但在炒作期间,他们借鉴了最大参与者的交易做法。我们还揭示了培训对小投资者的影响:随着时间的推移,他们不太容易受到大投资者的挑衅,这使得2019年的反弹在回报波动和持续时间方面都没有超过2017年的反弹。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Cryptocurrency Market: Overreaction to News and Herd Instincts
We studied the specific properties of the cryptocurrency market. Guided by the concept of implied volatility, we investigated the asymmetric reaction of the market to news. Based on the concept of realized volatility, we verified the hypothesis of herding behavior in the market. To test the properties of the market, we used a combination of methods, starting from the analysis of statistics of search queries, interpreted as proxies of information demand from professional market participants and the “wide crowd”, and ending with advanced Markov-Switching GARCH models and heterogeneous autoregressive models of realized volatility (HAR-RV-J-models). As a result, we found various types of asymmetric reactions of the cryptocurrency market to news related to both the general direction of its dynamics (growth or decrease) and the amplitude of return fluctuations (high or low volatility). During the upward price rally and overheating of the market, investors deliberately avoided the bad news; thereby the asymmetry in the cryptocurrency market was inverse (to the adopted leverage effect). On the contrary, during the downward price rally, market participants exhibited an overreaction to bad news. In addition, the asymmetric reaction to the news observed during the period of low market volatility actually disappeared when the amplitude of cryptocurrency return volatility increased. The behavior of short-term investors was also varied in the study period. While during the growth of the market, small speculators were more likely to follow their own trading strategies, during the hype they borrowed the trading practices of the largest players. We also revealed the effect of training among small investors: over time, they became less prone to provocations from large players, which did not allow the 2019 rally to surpass its counterpart in 2017 in terms of both return oscillations and duration.
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来源期刊
CiteScore
1.30
自引率
20.00%
发文量
0
期刊介绍: Ekonomicheskaya Politika is a broad-range economic journal devoted primarily to the study of the economic policy of present-day Russia as well as global economic problems. The subject matters of articles includes macroeconomic, fiscal, monetary, industrial, social, regulation and competition policyand more. The journal also publishes theoretical papers in such areas as political economy, general economic theory, welfare economics, law and economics,and institutional economics.. The character and the scope of economic problems studied in many publications require a multidisciplinary approach, consistent with the editorial policy of the journal. While the thematic scope of articles is generally related to Russia, the aim of editorial policy is to cover politico-economic processes in the modern world and international economic relations, as well. In addition, Ekonomicheskaya Politika publishes Russian translations of classical and significant modern works of foreign economists.
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