ABSTRACT
We revisit the "fear of missing out” (FoMO) effect of Bitcoin by observing asymmetric volatility dynamics and further investigate its driving factors. Using a longer sample period covering the COVID-19 pandemic, our results show evidence of positive asymmetric volatility behavior in the Bitcoin market, confirming the presence of the FoMO effect. This effect also exists in some other major cryptocurrencies. Further analysis indicates that the happiness index, the ratio of short-term to long-term Bitcoin trading volume, and the geopolitical risk index contribute positively to the FoMO, while the volatility index and the Twitter-based uncertainty index exert an opposite effect.
ABSTRACT
We use transaction data on CryptoPunks to dissect the factors affecting the returns of non-fungible tokens (NFTs). Our results show that trading volume in the short period before a trader buys (sells) CryptoPunk relates negatively (positively) to the returns on NFTs, suggesting that when market trading volume is at a high level, NFT owners are better off on the sell side, and investors interested in NFTs should avoid joining the herd. Turnover of a token tends to harm its returns. Finally, both traders' willingness to purchase and trading experience have a positive impact on NFT returns within short-term investment horizons.
ABSTRACT
This study investigates the herding behavior in the Singaporean cryptocurrency markets during the full crisis period, differentiates its presence before (pre-event) and after (post-event) the World Health Organization officially declared COVID-19 as a global pandemic on March 11, 2020. Discriminates its occurrence between up & down market conditions and further distinguishes the phenomenon between periods of low & high volatilities. Our results show that herding effect is present in but is contingent in a specific combination of market state and market condition, only during down markets in periods of high volatility (down market - high volatility) and up markets in periods of low volatility (up market - low volatility). Furthermore, results indicate an asymmetric herding effect and is robust in a market capitalization-weighted model.
ABSTRACT
ABSTRACT This study investigates the positive feedback trading behavior in Bitcoin markets and analyzes its potential determinants. Our results show significant evidence of positive feedback trading behaviors for Bitcoin and the infectious disease equity market volatility tracker index (EMVID) increases Bitcoin volatility. Combining rolling window estimations with regression analysis, we find that market uncertainty that is measured by EMVID, the distance between short- and long-term moving averages of Bitcoin's trading volumes, and Bitcoin prices exceeding their 21-day moving average are positively correlated with future positive feedback trading behaviors during the COVID-19 pandemic. Further, left-tailed risk contributes negatively to this behavioral anomaly.