Role of hedging on crypto returns predictability: A new habit-based explanation

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

【Source】FINANCE RESEARCH LETTERS

【影响因子】9.848

【Abstract】We evaluate the ability of risk-averse commercial traders' net position in futures to predict changes in cryptocurrency returns, which can be useful to cryptocurrency-market-specific mea-sures developed in the behavioral finance literature. Notably, we show that the hedging factor has a statistically significant and economically important effect on the predictability of crypto returns via its moderating effects on the risk-aversion and uncertainty channels. Moreover, the out-of -sample evidence suggests significant return predictability for the hedging factor.

【Keywords】Risk aversion; Bitcoin futures; Financial market uncertainty; Hedging factor

【发表时间】2023 JUL

【收录时间】2023-07-20

【文献类型】实证数据

【主题类别】

区块链治理-市场治理-市场分析