Investor behavior and cryptocurrency market bubbles during the COVID-19 pandemic

【Author】 Mnif, Emna; Salhi, Bassem; Mouakha, Khaireddine; Jarboui, Anis

【Source】REVIEW OF BEHAVIORAL FINANCE

【Abstract】Purpose Cryptocurrencies lack fundamental values and are often subject to behavioral bias leading to market bubbles. This study aims to investigate the contribution of the coronavirus pandemic to the creation of market bubbles. Design/methodology/approach This study identifies four major cryptocurrency market bubbles by using the Phillips et al. (2016) (hereafter PSY) test. Subsequently, the co-movements of the coronavirus proxies with PSY measurement using the wavelet approach were studied. Findings Short-lived bubbles are detected at the beginning of the studied period, and more extended bubble periods are identified at the end. Besides, the empirical results show evidence of significant negative co-movement between each pandemic proxy and each cryptocurrency bubble measurement. Research limitations/implications Given the complex financial dynamics of the cryptocurrency markets due to some behavioral biases in some circumstances, investors can benefit from the date stamping of the bubbles bursting to make the best trading positions. In the same way, governments could support the healthy development of cryptocurrencies by preventing bubbles during such pandemics. Originality/value The financial bubble is commonly attributed to a change in investor behavior. Because traders and investors think they can resell the asset at a higher price in the future. This study explored the contribution of the COVID-19 pandemic in the creation of these bubbles by date stamping their occurrence and explosive periods. To the best of the authors' knowledge, this study is the first attempt that explores the contribution of the COVID-19 pandemic to the creation of bubbles caused by a change in the investors' behavior.

【Keywords】Cryptocurrency; Continuous wavelet; Wavelet coherence; Investor behavior; Market bubbles; COVID-19; C58; E44; G01; H12

【标题】COVID-19 大流行期间的投资者行为和加密货币市场泡沫

【摘要】目的。加密货币缺乏基本价值，并且经常受到导致市场泡沫的行为偏见。本研究旨在调查冠状病毒大流行对市场泡沫形成的影响。设计/方法/方法。本研究通过使用菲利普等人确定了四个主要的加密货币市场泡沫。（2016）（以下简称 PSY）测试。随后研究了冠状病毒代理与使用小波方法的 PSY 测量的协同运动。发现。在研究期开始时检测到短暂的泡沫，并在结束时识别出更长的泡沫期。此外，实证结果表明，每个大流行代理和每个加密货币泡沫期之间存在显着的负面联动。研究限制/影响。在某些情况下，由于某些行为偏差而导致加密货币市场的复杂金融动态，投资者可以从泡沫破裂的日期戳中受益，从而获得最佳交易结果。同样，政府可以通过在此类大流行期间防止泡沫来支持加密货币的健康发展。原创性/价值。金融泡沫通常归因于投资者行为的变化。因为交易者和投资者认为他们可以在未来以更高的价格转售资产。这项研究通过标记它们的发生和爆炸时期来探索 COVID-19 大流行在这些泡沫的产生中的贡献。据作者所知，这项研究是首个尝试探索 COVID-19 大流行对投资者行为变化造成影响，进而引起泡沫的文章。

【关键词】加密货币；连续小波；小波相干；投资者行为；市场泡沫；新冠肺炎

【收录时间】2022-07-15

【文献类型】Article; Early Access

【论文大主题】加密货币

【论文小主题】市场分析与预测

【影响因子】0.000

【翻译者】张宵霆