Predictability of crypto returns: The impact of trading behavior

【Author】 Dunbar, Kwamie; Owusu-Amoako, Johnson

【Source】JOURNAL OF BEHAVIORAL AND EXPERIMENTAL FINANCE

【影响因子】8.222

【Abstract】We evaluate the ability of futures market participants' trading behavior decisions to predict cryp-tocurrency returns. We establish that cryptocurrency returns are driven and predicted by the trading behavior of speculative retail traders. We document that the net-short trading behavior of speculative retail traders is an economically strong and statistically significant determinant of cryptocurrency returns. Further, our findings indicate that changes in the net-short trading behavior remained strong even after controlling for other known predictors such as investor attention, crypto market uncertainty, sentiment, and prior returns.& COPY; 2023 Elsevier B.V. All rights reserved.

【Keywords】Trading behavior; Bitcoin futures; Cryptocurrency retail traders; Investor attention

【发表时间】2023 SEP

【收录时间】2023-07-18

【文献类型】理论模型

【主题类别】

区块链治理-市场治理-价格预测