价格延迟和羊群效应:来自加密货币市场的证据

IF 1.9 Q2 BUSINESS, FINANCE Review of Behavioral Finance Pub Date : 2024-08-06 DOI:10.1108/rbf-04-2024-0094
Barbara Abou Tanos, Omar Meharzi
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引用次数: 0

摘要

本研究的目的是调查加密货币对市场消息的价格延迟如何影响投资者的羊群行为,尤其是在动荡事件(如 COVID-19 期间)中。设计/方法/方法本文使用横截面绝对偏差(CSAD)测量方法调查羊群行为的存在。我们还调查了在市场上下波动期间和投资者极端情绪条件下加密货币交易者行为中的羊群行为。根据 Hou 和 Moskowitz(2005 年)提出的价格延迟测量方法,对加密货币价格对市场信息的反应速度进行了评估。在投资者情绪极端低迷的时期,这种情况也很明显。我们还记录了不同加密货币的非对称羊群行为,这些加密货币在看涨和看跌市场条件下对市场消息的价格速度调整程度不同。我们的研究结果在不同的子时期、不同的市场回报估算和不同的价格延迟频率下都是一致和稳健的。这项研究对监管者和政策制定者也很有价值,特别是考虑到旨在减少市场扭曲和增强加密货币市场弹性的金融改革日益重要。更具体地说,应优先考虑提高市场信息效率的法规,以加快加密货币价格对市场信息的响应速度,这有助于减少投资者的羊群行为。 原创性/价值 本文通过研究加密货币价格延迟与投资者中存在的羊群行为(尤其是在 COVID-19 大流行等不确定时期)之间尚未探索的关系,为学术文献做出了新的贡献。
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Price delay and herding: evidence from the cryptocurrency market

Purpose

The purpose of this study is to investigate how the price delay of cryptocurrencies to market news affects the herding behavior of investors, particularly during turbulent events such as the COVID-19 period.

Design/methodology/approach

The paper investigates the presence of herding behavior by using Cross-Sectional Absolute Deviation (CSAD) measures. We also investigate the herding activity in the crypto traders’ behavior during up and down-market movements periods and under investor extreme sentiment conditions. The speed of cryptocurrencies’ price response to the information embedded in the market is assessed based on the price delay measure proposed by Hou and Moskowitz (2005).

Findings

Our findings suggest that cryptocurrencies characterized by high price delays exhibit more herding among investors, thereby highlighting higher degrees of market inefficiencies. This is also apparent during periods of extreme investor sentiment. We also document an asymmetric herding behavior across cryptocurrencies that present different levels of price speed adjustments to market news during bullish and bearish market conditions. Our results are consistent and robust across different sub-periods, various market return estimations and different price delay frequencies.

Practical implications

The study provides crucial guidelines for investors’ asset allocation and risk management strategies. This study is also valuable to regulators and policymakers, particularly in light of the increasing importance of financial reforms aimed at mitigating market distortions and enhancing the resilience of the cryptocurrency market. More specifically, regulations that improve the market’s information efficiency should be prioritized to speed up the response time of cryptocurrency prices to market information, which can help reduce the investors' herding behavior.

Originality/value

This paper makes a novel contribution to the academic literature by investigating the unexplored relationship between cryptocurrency price delays and the presence of herding behavior among investors, especially in times of uncertainty such as the COVID-19 pandemic.

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来源期刊
Review of Behavioral Finance
Review of Behavioral Finance BUSINESS, FINANCE-
CiteScore
4.70
自引率
5.00%
发文量
44
期刊介绍: Review of Behavioral Finance publishes high quality original peer-reviewed articles in the area of behavioural finance. The RBF focus is on Behavioural Finance but with a very broad lens looking at how the behavioural attributes of the decision makers influence the financial structure of a company, investors’ portfolios, and the functioning of financial markets. High quality empirical, experimental and/or theoretical research articles as well as well executed literature review articles are considered for publication in the journal.
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