新冠肺炎时期投资者情绪对比特币回报和条件波动的影响

IF 1.7 3区经济学 Q3 BUSINESS, FINANCE

Journal of Behavioral Finance Pub Date : 2021-09-11 DOI:10.1080/15427560.2021.1975285

Derya Güler

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引用次数: 15

摘要

摘要本文采用不同的投资者情绪代理，采用EGARCH模型，研究了考虑Covid-19疫情的投资者情绪对比特币收益和条件波动率的影响。估计结果表明，投资者情绪对比特币收益及其波动性有积极影响，特别是在新冠肺炎疫情爆发后。运用VAR模型考察动态环境下投资者情绪与比特币收益是否相关，并区分理性与非理性投资者情绪。VAR模型的结果表明，理性和非理性的投资者情绪都会对比特币收益产生影响，说明比特币市场也是由情绪驱动的，噪声交易者对比特币收益的数据生成过程产生影响。投资者情绪的积极影响可以归因于投机和非理性投资者的错失恐惧(FOMO)行为。

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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The Impact of Investor Sentiment on Bitcoin Returns and Conditional Volatilities during the Era of Covid-19

Abstract This paper studies the impact of investor sentiment on the Bitcoin returns and conditional volatility taking into account the Covid-19 outbreak by using different investor sentiment proxies and by employing the EGARCH model. Estimation results show that investor sentiment has a positive impact on the Bitcoin returns and their volatility, especially after the Covid-19 outbreak. The VAR model is employed to investigate whether investor sentiment and Bitcoin returns are related in a dynamic setting and to make distinguish between rational and irrational investor sentiments. The results from the VAR model show that both rational and irrational investor sentiments have an impact on Bitcoin returns indicating that the Bitcoin market is also driven by emotions and noise traders have an impact on the data generating process of Bitcoin returns. The positive impact of investor sentiment can be attributed to the fear of missing out (FOMO) behavior of speculative and irrational investors.

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来源期刊

Journal of Behavioral Finance Multiple-

CiteScore

4.60

自引率

10.50%

发文量

期刊介绍： In Journal of Behavioral Finance , leaders in many fields are brought together to address the implications of current work on individual and group emotion, cognition, and action for the behavior of investment markets. They include specialists in personality, social, and clinical psychology; psychiatry; organizational behavior; accounting; marketing; sociology; anthropology; behavioral economics; finance; and the multidisciplinary study of judgment and decision making. The journal will foster debate among groups who have keen insights into the behavioral patterns of markets but have not historically published in the more traditional financial and economic journals. Further, it will stimulate new interdisciplinary research and theory that will build a body of knowledge about the psychological influences on investment market fluctuations. The most obvious benefit will be a new understanding of investment markets that can greatly improve investment decision making. Another benefit will be the opportunity for behavioral scientists to expand the scope of their studies via the use of the enormous databases that document behavior in investment markets.