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Herding and feedback trading in cryptocurrency markets

This paper examines the extent to which herding and feedback trading behaviors drive price dynamics across nine major cryptocurrencies. Using sample price data from bitcoin, ethereum, XRP, bitcoin cash, EOS, litecoin, stellar, cardano and IOTA, respectively, we document heterogeneity in the types of...

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Detalles Bibliográficos
Autores principales: King, Timothy, Koutmos, Dimitrios
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Springer US 2021
Materias:
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7805263/
https://www.ncbi.nlm.nih.gov/pubmed/33462519
http://dx.doi.org/10.1007/s10479-020-03874-4
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author King, Timothy
Koutmos, Dimitrios
author_facet King, Timothy
Koutmos, Dimitrios
author_sort King, Timothy
collection PubMed
description This paper examines the extent to which herding and feedback trading behaviors drive price dynamics across nine major cryptocurrencies. Using sample price data from bitcoin, ethereum, XRP, bitcoin cash, EOS, litecoin, stellar, cardano and IOTA, respectively, we document heterogeneity in the types of feedback trading strategies investors utilize across markets. Whereas some cryptocurrency markets show evidence of herding, or, ‘trend chasing’, behaviors, in other markets we show evidence of contrarian-type behaviors. These findings are important because they elucidate upon, firstly, what forces drive cryptocurrency markets and, secondly, how this type of trading behavior affects autocorrelation patters for cryptocurrencies. Finally, and from our intertemporal asset pricing model, we shed new light on the observed nature of the risk-return tradeoffs for each of our sampled cryptocurrencies.
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spelling pubmed-78052632021-01-14 Herding and feedback trading in cryptocurrency markets King, Timothy Koutmos, Dimitrios Ann Oper Res Original Research This paper examines the extent to which herding and feedback trading behaviors drive price dynamics across nine major cryptocurrencies. Using sample price data from bitcoin, ethereum, XRP, bitcoin cash, EOS, litecoin, stellar, cardano and IOTA, respectively, we document heterogeneity in the types of feedback trading strategies investors utilize across markets. Whereas some cryptocurrency markets show evidence of herding, or, ‘trend chasing’, behaviors, in other markets we show evidence of contrarian-type behaviors. These findings are important because they elucidate upon, firstly, what forces drive cryptocurrency markets and, secondly, how this type of trading behavior affects autocorrelation patters for cryptocurrencies. Finally, and from our intertemporal asset pricing model, we shed new light on the observed nature of the risk-return tradeoffs for each of our sampled cryptocurrencies. Springer US 2021-01-13 2021 /pmc/articles/PMC7805263/ /pubmed/33462519 http://dx.doi.org/10.1007/s10479-020-03874-4 Text en © Springer Science+Business Media, LLC, part of Springer Nature 2021 This article is made available via the PMC Open Access Subset for unrestricted research re-use and secondary analysis in any form or by any means with acknowledgement of the original source. These permissions are granted for the duration of the World Health Organization (WHO) declaration of COVID-19 as a global pandemic.
spellingShingle Original Research
King, Timothy
Koutmos, Dimitrios
Herding and feedback trading in cryptocurrency markets
title Herding and feedback trading in cryptocurrency markets
title_full Herding and feedback trading in cryptocurrency markets
title_fullStr Herding and feedback trading in cryptocurrency markets
title_full_unstemmed Herding and feedback trading in cryptocurrency markets
title_short Herding and feedback trading in cryptocurrency markets
title_sort herding and feedback trading in cryptocurrency markets
topic Original Research
url https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7805263/
https://www.ncbi.nlm.nih.gov/pubmed/33462519
http://dx.doi.org/10.1007/s10479-020-03874-4
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