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The study goal was to verify the relationship among financial indicators and intermediaries' volatility stock price listed on the BM&FBovespa Index in the crisis period from 2008 and 2020 (COVID-19). The methods used for analysis were Spearman's correlation, multiple linear regression, and Test T. The analyzed period refers to the year 2008, the second semester of 2019 and the first semester of 2020, which include the periods before and during the crises of 2008 and 2020. The results found show that only the indicator of the assets total turnover rate has a significant relationship with the stock price volatility.Alternate :O estudo tem como objetivo verificar a relação entre os indicadores com a volatilidade das ações das intermediadoras financeiras listadas no Índice BM&FBovespa no período das crises de 2008 e 2020 (COVID-19). Os métodos utilizados para análise foram de correlação de Spearman, regressão linear múltipla e Teste T. O período analisado refere-se ao ano de 2008, segundo semestre de 2019 e primeiro semestre de 2020, onde englobam os períodos pré e durante as crises de 2008 e 2020. Os resultados encontrados apontam que apenas o indicador taxa total de rotatividade dos ativos possui relação significativa com a volatilidade do preço das ações.Alternate :El estudio tiene como objetivo verificar la relación entre los indicadores y la volatilidad de las acciones de los intermediarios financieros listados en el Índice BM&FBovespa en el período de las crisis de 2008 y 2020 (COVID-19). Los métodos utilizados para el análisis fueron la correlación de Spearman, la regresión lineal múltiple y la prueba T. El período analizado se refiere al año 2008, la segunda mitad de 2019 y la primera mitad de 2020, que incluyen los períodos antes y durante las crisis de 2008 y 2020. Los resultados encontrados indican que solo el indicador de tasa de rotación de activos totales tiene una relación significativa con la volatilidad del precio de las acciones.
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This paper investigates herding behavior of investors in three frontier Nordic countries from July 1,2002 until July 30, 2021, under different market conditions and during three crises that occurred in this period. As estimation methods, we use both OLS and quantile regression and determine that both up and down market, high and low volatility induce a weak herding behavior for at least one quantile in almost all Nordic countries examined, except for Latvia. At the same time, we find that crises determine a more prominent herding behavior in Nordic countries, but do not influent the behavior of investors from Latvia, that tend to remain rational even in stressful conditions.
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Este trabalho investiga a presença do efeito disposição em investidores brasileiros no ano de 2020. A base de dados compreende 274 investidores distintos que, em conjunto, realizaram mais de 12 mil transações. Aplicase a metodologia utilizada por Odean (1998). A partir das carteiras de investimento de cada indivíduo, estima-se a proporção de ganhos e de perdas realizadas e testa-se a hipótese de igualdade dessas proporções. O estudo identificou que os investidores brasileiros estão propícios à influência dessa anomalia comportamental nas suas decisões, ou seja, vendem seus investimentos com ganhos mais rapidamente e mantêm seus investimentos perdedores por mais tempo e que uma posição com lucro possui mais chance de ser vendida do que uma posição com prejuízo. Os resultados não indicam efeito disposição no mês de março, e isso sugere que, em momentos de maior incerteza, investidores buscam limitar perdas, independentemente do lucro ou prejuízo auferido com o ativo.Alternate :This study investigates the disposition effect with regard to Brazilian investors, with focus on the year 2020. The database is composed by more than 12,000 trades by 274 investors. We follow the method of Odean (1998) to estimate the proportions of gains and losses realized and test the null hypothesis of equality of these proportions in each portfolio. The results suggest that Brazilian investors behave in line with the disposition effect. They sell winning stocks too early and hold losing stocks too long. A stock that is gaining value is more likely to be sold from day to day compared to a stock that is losing value. The disposition effect was not found in March, which suggests that investors employed a loss-limit during periods of market stress, no matter if the stock went up or down.
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PurposeThe purpose of the article is to show the changing behavior of investors in the post-pandemic period, the continued development of "emotional communities” in the financial market, as well as the factors contributing to their formation and the role of such communities in the elaboration of investors' decisions.Design/methodology/approachThe research includes an analysis of the popularity of various terms searched in the US segment of Google in the financial category from 2004 to 2022, their correlation with financial market indicators and theoretical observations around these data.FindingsThe results obtained by the author allow him to draw the following conclusions: (1) the change in investors' behavior indicates the formation of the new distributed community-centric model of the financial market;(2) the main distinguishing feature of the behavior of many retail investors is gamification;(3) the networking of investors contributes to a significant change in their priorities in the elaboration of investment decisions;(4) the fundamental indicators of the financial market play an ever decreasing role in the decision-making of individual investors.Originality/valueTo the best of the author's knowledge, the formation of emotional communities of investors and their role in the elaboration of mass investor decisions is not widely covered in the literature. The paper develops a framework for further studies on the role of emotional communities in the financial market and in changing behavior of retail investors.
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-This Note explores the reasonable investor standard in light of recent developments in pandemic-era securities litigation. Scholars have long criticized the reasonable investor standard for determining materiality. Given the dramatic backdrop of the COVID-19 pandemic, the limitations of the standard are becoming ever more evident. This Note provides a brief history of the development of the current standard and highlights some of its problems through two recent COVID-19 securities fraud cases. This Note argues that the reasonable investor standard is no longer sufficient to protect investors. Through examining tort law and First Amendment jurisprudence, this Note differentiates between the reasonable and average persons and recommends replacing the reasonable investor standard with the average investor standard.
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Retail investors pay limited attention to alternative gambling activities. More-attentive activities increase, whereas less-attentive activities decrease. However, attention is unobservable. Previous studies proxy gambling attention based on representative gambles, such as lotteries. These proxies incorporate general gambling and representative-gambling attention. Thus, previous studies have reported net effects. This study analyzes the effects of gambling attention on the trading of retail investors in the Stock Exchange of Thailand. Lotteries served as representative gambles. Gambling attention is decomposed into general gambling and lottery-specific components, enabling the study to separately estimate the effects of each component. Lotteries in Thailand offer fixed prizes. However, traditional proxies are not applicable. This study measures attention using the Google search volume index on a lucky-number query. The query is based on a superstitious belief that is unique to the Thai market. Using daily observations from August 6, 2008, to June 30, 2022, which totaled 3,388 observations, this study establishes that gambling attention has a net negative effect. When attention is decomposed, its general gambling and lottery-specific components exhibit positive and negative effects, respectively. Furthermore, the effect on the buying side was stronger than that on the selling side. During the COVID-19 pandemic, the lottery-specific effects became positive. Retail investors responded to lottery-specific attention through stock trading.
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We examine the daily dependence and directional predictability between the returns of crude oil and the Crude Oil Volatility Index (OVX). Unlike previous studies, we apply a battery of quantile-based techniques, namely the quantile unit root test, the causality-in-quantiles test, and the cross-quantilogram approach. Our main results show evidence of significant bi-directional predictability that is quantile-dependent and asymmetric. A significant positive Granger causality runs from oil (OVX) returns to OVX (oil) returns when both series are in similar lower (upper) quantiles, as well as in opposite quantiles. The Granger causality from OVX returns to oil returns is only significant during periods of high volatility, although it is not always positive. The findings imply that the forward-looking estimate of oil volatility, reflecting the sentiment of oil market participants, should be considered when studying price variations in the oil market, and that crude oil returns can be used to predict oil implied volatility during bearish market conditions. Therefore, the findings have implications regarding predictability under various conditions for oil market participants.
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This study seeks to contribute to the body of research on economic sustainability during periods of crisis by examining investor behavior in China during the COVID-19 pandemic in 2020. Economic conditions in China during 2020 can be separated into the first half of the year, a period of extreme economic uncertainty, and the second half of the year when there was almost no COVID and was a period of relative economic stability. Unexpectedly, Chinese funds showed consistent, strong growth throughout all of 2020. This study applies behavioral finance theory to interpret data gathered through an online survey to examine several factors in the psychology of investors during these two periods. Factors included;risk avoidance, heuristic, prospect, and herding. The heuristic factor was further divided into: representativeness, anchoring, overconfidence, gambler fallacy, and availability bias. The prospect factor included loss aversion and regret aversion. The analysis indicates that low-risk funds' investments grew significantly during the first half of the year due to risk avoidance behavior. During the second half of 2020, as the level of uncertainty and risk in China was considerably reduced, investment in low-risk funds continued with robust activity and growth due to the investment psychology of the herding effect. The findings contribute to the body of knowledge on investor behavior and market resiliency during periods of crisis. Copyright © 2023 GMP Press and Printing.
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This paper examines the impact of COVID-19 related information measures on the S&P/TSX Composite Index return and volatility from a local market perspective. The analysis is conducted on a Canadian provincial, regional, and national level using various measures related to the COVID-19 coronavirus, such as the infectiousness of the virus, stringency of government policies, and market sentiment, to identify the main drivers of the Canadian stock market. Our empirical results show that the measures impacting stock market return and volatility differ, with return driven primarily by market sentiment, and volatility driven by the infectiousness of the virus. These results are counter to the commonly held belief of returns being driven by fundamental macroeconomic variables and volatility being driven by market sentiment. While a formal test to determine the cause of the results is not conducted, the results could have potentially been fueled by the irrational behavior of investors who were looking to cash out on riskier stock market investments or shift them to safe assets.
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PurposeThis paper aims to examine the impact of investor attention due to the COVID-19 pandemic, Twitter-based sentiment towards uncertainty and public sentiment on the performance of cryptocurrencies.Design/methodology/approachThe authors employ the simple linear regression, quantile regression (QR), the exponential generalised autoregressive conditional heteroskedasticity (EGARCH) model, and sentiment analysis to examine this phenomenon. The authors utilise the daily closing price of the 20 leading cryptocurrencies, the Google search volume index of the "Coronavirus” keyword, the Twitter-based economic uncertainty index, and textual data collected from the Reddit social media platform.FindingsThe results show that investor attention and Twitter uncertainty have a negative (positive) effect on cryptocurrency returns (volatility). The QR results indicate a heterogeneous effect of investor attention and Twitter economic uncertainty on cryptocurrency returns with a higher effect in the lower quantiles. The findings indicate that cryptocurrencies fail to act as a safe haven during this pandemic.Originality/valueThe study is amongst the very few studies that capture the impact of investor attention/sentiment due to COVID-19 on the performance of cryptocurrencies.
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Dünyada, Covid-19 pandemi dönemi ile global ölçekte ortaya çıkan ve ekonomiler açısından olaǧanüstü hal oluşturan bir panik havası meydana gelmiştir. Bu sancılı sürecin yönetiminde devletler ve yatırımcılar açısından atılan adımlarda korku ve panik havası yaşanmıştır. Korku ve endişe gibi yoǧun duygular, piyasalarda oluşan tepkileri ve yatırımcı davranışlarını finansal piyasalara hızla aktarmaktadır. Ínsan yaşamına doǧrudan etkisi olan olumsuz düşüncelerin ve beklentilerin, borsa yatırımcısının kararları üzerinde oluşturdukları tepkiler ve türev piyasalarda işlem yapan küçük ya da büyük ölçekli yatırımcıların kararları doǧrudan finansal sistemlere yansımaktadır. Amaç: Bu çalışmada yatırımcıların kararları, hisse senedi tercihleri, borsa üzerindeki işlemleri konu alan ve Covid-19 sürecinde devletlerin teşviklerini inceleyen çalışmalar araştırma konusu olarak ele alınacaktır. Metodoloji: Literatürde yer alan çalışmalar R Biblioshiny Programı ve VOSviewer Programı aracılıǧıyla görsel haritalama teknikleri kullanılarak derlenmiştir. Covid-19'un hangi alanlarda daha çok çalışıldıǧı, hangi ülkelerin kelime grupları ile bir çalışma ortaya koydukları bibliyometrik analizler aracılıǧıyla bu çalışmada görselleştirilmiş olup performans analizi oluşturulmuştur. Bulgular: Covid-19'un neden olduǧu pandemi döneminde 2020-2022 yılları arasında borsa etkinliǧi ve yatırımcı davranışları kavramlarını işleyen 2282 çalışma incelenmiştir. Bu çalışmalarda korku ve tedirginliǧin tüm sektörleri etkilediǧi bu durumun bir anomali olarak algılandıǧı görülmektedir. Kelime analizinde en sık rastlanılan araştırma konuları Covid-19, borsa, oynaklık, bulaşma, yayılma, hisse senedi piyasası, endişe, belirsizlik, getiri, ekonomik politikalar olmuştur. Pandemi öncesi dönemde de yer alan yatırımcıların davranışları üzerinde duran çalışmalar pek tabii literatürde yer almakta ve bu çalışmalarda da belirsizlik, endişe, getiri, oynaklık gibi kullanım sıklıǧı yoǧun kelimeler bulunmaktaydı. Ancak insan psikolojisini derinden sarsan korkutucu bir salgın tüm sektörlerde ve piyasalarda korku hissini yoǧunlaştırdıǧından, özellikle pandemi dönemi yatırımcı ve borsa çalışmaları kelime bulutları aracılıǧıyla incelenmek istenmiş ve ilgili frekansların yoǧunluǧu ile beklentiler doǧrulanmıştır. VOSviewer Programının çıktılarına göre en fazla çalışmanın yapıldıǧı ülkeler Çin, Fransa, Tunus, ABD, Hindistan'dır. Yoǧunluk haritasına göre Hindistan, Malezya ve Türkiye'de çalışmaların sayısı giderek artmaktadır. Tematik haritalamada Covid-19'un oldukça çalışılmış ve iç baǧları kuvvetli temalar arasına girdiǧi tespit edilmiştir. Özgünlük: Literatürde Covid-19'un borsa etkinliǧi ve yatırımcı kararları üzerindeki etkilerini bibliyometrik analiz yoluyla incelendiǧi çalışma sayısı oldukça azdır. Kelime analizleri, temel tanımlayıcı istatistik bulguları, tematik haritalama, yoǧunluk ve baǧlantı haritalarından elde edilen bulguların performans analizi yapılarak pandemi gibi olaǧanüstü durumların iyi bir şekilde analiz edilmesi yatırımcı davranışlarının ve beklentilerinin öngörülmesi ve yönetilmesi açısından önemli bir fırsat vermektedir. Bu çalışma ile literatürdeki ilerleme ve çalışma eǧilimleri ortaya konularak yeni araştırmalar için yol haritası oluşturması, üretilecek politikalar için katkı saǧlaması beklenmektedir.Alternate :There has been an atmosphere of panic in the world that has arisen on a global scale with the Covid-19 pandemic period and has created a state of emergency for economies. There has been an atmosphere of fear and panic at the steps taken by states and investors in the management of this painful process. Intense emotions such as fear and anxiety quickly transfer market reactions and investor behavior to finan ial markets. The negative thoughts and expectations that have a direct impact on human life, the reactions they create on the decisions of the stock market investor, and the decisions of small or large-scale investors trading in derivatives markets are directly reflected in the financial systems. Purpose: studies on investors' decisions, stock preferences, transactions on the stock market, and studying the incentives of states in the Covid-19 process will be considered as research topics. Methodology: The studies in the literature have been compiled using visual mapping techniques through the R Biblioshiny Program and the VOSviewer Program. In this study, which areas of Covid-19 are being studied more, which countries have revealed a study with word groups have been visualized through bibliometric analyses and performance analysis has been created. Findings: During the pandemic caused by Covid-19, 2282 studies Deciphering the concepts of stock market activity and investor behavior were studied between 2020 and 2022. In these studies, it is seen that fear and anxiety affect all sectors and this situation is perceived as an anomaly. The most common research topics in word analysis have been Covid 19, stock market, volatility, contagion, spread, stock market, anxiety, uncertainty, returns, and economic policies. Studies focusing on the behavior of investors in the pre-pandemic period also appeared in many literature, and in these studies, there were words with high frequency of use such as uncertainty, anxiety, yield, volatility. However, since a frightening epidemic that deeply shook human psychology intensified the feeling of fear in all sectors and markets, especially during the pandemic period, investor and stock market studies were asked to be examined through word clouds and expectations were confirmed by the intensity of the relevant frequencies. According to the results of the VOSviewer Program, the countries where the most work is done are China, France, Tunisia, the USA, India. According to the density map, the number of studies is gradually increasing in India, Malaysia and Turkey. In thematic mapping, Covid-19 has been studied quite Decisively and it has been found that it falls among the themes with strong internal ties. Originality: The number of studies in which the effects of Covid-19 on stock market activity and investor decisions have been examined through bibliometric analysis is quite small in the literature. Word analysis basic descriptive statistics findings, thematic mapping, density and performance analysis of the findings obtained from the connectivity map by pandemic an emergency situation, such as anticipating and managing their expectations in terms of important and a good analysis of investor behavior provides an opportunity. With this study, progress and study trends in the literature are revealed and it is expected to create a roadmap for new research and contribute to the policies to be produced.
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We analyze herding behavior in the Chinese stock markets in the context of the COVID-19 pandemic using the cross-sectional absolute deviation (CSAD) model proposed by Chang et al. (2000) to detect herding behavior in the time period between January 30, 2001, and June 12, 2020. We consider stock prices for all firms listed (A-shares) on the Shanghai Stock Exchange (SHSE) and Shenzhen Stock Exchange (SZSE) in China. We report the presence of herding behavior during the period under study and that herding behavior becomes stronger after December 31, 2019 (the COVID-19 event date). We also study herding activity in the context of potential asymmetries in market return and volatility states. The results show that when the market return is high and the volatility is low, there is a more predominant herding behavior trend. Our results do not depend on using different time windows. Results do not change when time-varying coefficients are considered using rolling regressions. Other control variables which may be relevant in explaining CSAD do not change the results when included in the estimations. © 2022, Universidad de Chile. All rights reserved.
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This study aims to determine the factors that can influence investors in selecting stocks in the Indonesian capital market to establish an optimal portfolio, and find phenomena that occurred during the COVID-19 pandemic so that buying interest / the number of investors increased in the Indonesian capital market. This study collection technique uses primary data obtained from the survey questionnaire and secondary data which is market data, stock price movement data sourced from the Indonesia Stock Exchange, Indonesian Central Securities Depository, and Bank Indonesia, as well as empirical literature on behavior finance, investment decision, and interest in buying stock. The method used in this research is the survey questionnaire analysis with the SEM (statistical approach). The results of the analysis using SEM show that investor behavior influences the stock-buying interest, investor behavior, and the stock-buying interest influences investor decision-making. However, risk management does not influence investor-decision making. This occurs when the investigator's psychological capacity produces more decision information by decreasing all potential biases, allowing the best stock selection model to be selected. When the investigator's psychological capacity creates more decision information by reducing biases, the optimum stock selection model can be chosen.
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2007-2009 Küresel Finans Krizinin ardından makroekonomi politikalarının etkinliği dünya genelinde yeniden değerlendirilmiş ve yeni politika araçlarına yönelik arayışlar güçlenmiştir. 2020 yılında pandeminin yol açtığı derin ekonomik gerilemeye ülkelerin öncelikli politika yanıtı, genişletici politikalar uygulayarak, ekonomide oluşması muhtemel uzun vadeli hasarı sınırlandırmak amacıyla hane halklarına ve firmalara çeşitli destekler sağlamak olmuştur. Bu süreçte özellikle gelişmiş ülkelerde para politikasının alt sınır faiz koşullarında kısıtlı etkinliğe sahip olması nedeniyle, maliye politikaları geleneksel olmayan para politikası araçlarıyla, makro ihtiyati tedbirlerle ve geleneksel olmayan maliye politikası araçlarıyla desteklenmiştir. Uygulanma biçimine ve amacına göre tamamlayıcı ya da alternatif olabilen bu araçlar, ülkelerin kendilerine özgü koşullarına uyarlanabilmekte ve politika tasarımında artan bir esneklik sağlamaktadır. Bu çalışmada Türkiye 'de reel sektörün mevcut durumu stilize olgularla incelenmiştir. Reel sektör firmalarının yüksek borçluluk oranları, karşı karşıya bulundukları finansman ve yeniden finansman maliyetlerinin yüksekliği, yatırım iklimindeki gerileme ve makroekonomik öngörülebilirliğin azalması gibi faktörler potansiyel hasılayı baskılamaktadır. Ekonomide verimlilik oranının yükseltilmesi ve potansiyel büyüme hızının arttırılması, reel sektörde üretken Yatırımların çeşitli araçlarla teşvik edilmesi ve stratejik/kilit sektörlerin desteklenmesiyle mümkün olabilecektir. Bu çerçevede geleneksel olmayan makroekonomi politikası araçlarının, Türkiye 'de reel sektörün finansman problemlerinin hafifletilmesinde ve üretken Yatırımların teşvik edilmesinde etkili olabileceği değerlendirilmektedir.Alternate :After the 2007-2009 Global Financial Crisis, the effectiveness of macroeconomic policies has been re-evaluated worldwide and the quest for new policy tools has emerged. The primary policy response of countries to the deep economic recession caused by the pandemic in 2020 has been to provide various supports to households and companies via expansionary policies in order to limit the possible long-term damage to the economy. In this process, fiscal policies were supported by unconventional monetary policy instruments, macroprudential policies and unconventional fiscal policy instruments, especially in developed countries, due to the limited effectiveness of monetary policy in lower bound conditions. These tools, which can be complementary or alternative depending on the situation and aim, can be adapted to the specific conditions of the countries and provide increased flexibility in policy design. In this study the current conditions of the real sector in Turkey have been examined with stylized facts. Factors such as high indebtedness ratios of real sector companies, high financing and refinancing costs, deterioration in investment climate and decrease in macroeconomic predictability suppress potential output. Increasing the productivity rate and increasing the potential growth rate in the economy in general can be possible by subsidizing productive investments and promoting strategic/key sectors in the real sector. In this context, it is assessed that unconventional macroeconomic policy instruments can be effective in relieving the financing problems of the real sector in Turkey and promoting productive investments.
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We study the effect of mutual fund allocation on China's IPO market under the new registration system. The introduction of mutual fund bids significantly increases the IPO offer price, resulting in a low initial short-term return and suppressed IPO underpricing. Those newly listed stocks witness lower volatility in the following weeks due to preferential allocation to the mutual fund at the primary market. Further analysis suggests that large investors' net purchase strengthens IPO after-market return and volatility. Besides, the effect of mutual fund participation on IPOs is stronger in places where the COVID-19 outbreak. This new evidence suggests that mutual fund allocation plays a critical role in IPO price discovery and decreases investor lottery trading.
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The role of media coverage as a proxy for investor sentiments has led to the assessments of the impact of COVID-19 media coverage on financial markets. To determine how both local and global media coverage affect financial markets differently, we investigate this issue from the perspective of top emerging markets, BRICS (i.e., Brazil, Russia, India, China, and South Africa). With datasets covering January 2020 to March 2022, we employ the wavelet coherence technique on two major subsamples, viz. initial outbreak year sample and the “new normal” era sample. Our findings demonstrate the leading role of BRICS equities in the initial outbreak period, particularly across medium and low frequencies. In the “new normal” era, we find a significant effect of world media coverage on BRICS equities. We discuss the implications of our findings, which are of importance to investors, policymakers, and practitioners.
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In the post-pandemic era, companies are facing challenges in their business development and may pay fewer attention to their sustainable development performance, whereas the investors are looking for better corporate sustainable development. Using a sample of Chinese listed companies during 2010–2018, this paper empirically examines the relation between corporate sustainable development performance, investor sentiment, and managerial overconfidence with econometric tools such as panel data regression and S-GMM estimation. Three kinds of corporate sustainable development activities as measured by Corporate Social Responsibility (CSR) indexes, including consumer rights, employee benefits, and environmental protection, are proved to have a positive impact on investor sentiment. Compared to the SME and GEM Board, investor sentiment in the Main Board is less affected by corporate sustainable development. Furthermore, investor’s high sentiment leads to high managerial confidence in the SME and GEM Board, and managerial overconfidence is self-correcting over time. This paper illustrates why maintaining good corporate sustainable development performance is beneficial for listed companies from a new perspective.
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sThis study investigated the impact of investor psychological bias on a firm’s market value. In detail, we examined the effect of investor overconfidence (optimism) and loss aversion (pessimism) on firm market value. We also aimed to investigate the moderating effect of corporate governance on the relationship between investor behavior biases and firm market value. This study used a sample of 143 firms listed on the Saudi Stock Exchange over the period from 2012 to 2021. The results suggest that investor overconfidence affects a firm’s value positively. On the other hand, loss aversion is negatively associated with the firm’s market value. Furthermore, we find that corporate governance (measured by board size and board independence) enhances the positive association between overconfidence and firm market value. In contrast, we find that corporate governance seems to marginally mitigate the negative effect of loss aversion.
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This paper develops a dynamic portfolio selection model incorporating economic uncertainty for business cycles. It is assumed that the financial market at each point in time is defined by a hidden Markov model, which is characterized by the overall equity market returns and volatility. The risk associated with investment decisions is measured by the exponential Rényi entropy criterion, which summarizes the uncertainty in portfolio returns. Assuming asset returns are projected by a regime-switching regression model on the two market risk factors, we develop an entropy-based dynamic portfolio selection model constrained with the wealth surplus being greater than or equal to the shortfall over a target and the probability of shortfall being less than or equal to a specified level. In the empirical analysis, we use the select sector ETFs to test the asset pricing model and examine the portfolio performance. Weekly financial data from 31 December 1998 to 30 December 2018 is employed for the estimation of the hidden Markov model including the asset return parameters, while the out-of-sample period from 3 January 2019 to 30 April 2022 is used for portfolio performance testing. It is found that, under both the empirical Sharpe and return to entropy ratios, the dynamic portfolio under the proposed strategy is much improved in contrast with mean variance models.
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Purpose>The present study sets out to examine the empirical literature on the behavioural aspects of cryptocurrencies, showing the findings of related studies and discussing the various results. A systematic literature review of cryptocurrencies in behavioural finance seems to be timely and particularly important in terms of providing a guide for future research. Key topics include an extent review on the issue of herding behaviour amongst cryptocurrencies, momentum effects and overreaction, contagion effect, sentiment and uncertainty, along with studies related to investment decision-making, optimism bias, disposition, lottery and size effects.Design/methodology/approach>Systematic literature review.Findings>A systematic literature review of cryptocurrencies in behavioural finance seems to be timely and particularly important in terms of providing a guide for future research. Key topics include an extent review on the issue of herding behaviour amongst cryptocurrencies, momentum effects and overreaction, contagion effect, sentiment (investor's, market's) and uncertainty, along with studies related to investment decision-making, optimism bias, disposition, lottery and size effect.Originality/value>The authors' survey paper complements recent papers in the area by offering a systematic account on the influence of behavioural factors on cryptocurrencies. Further, this study's purpose is not just to index the relevant literature, but rather to showcase and pinpoint several research areas that have emerged in the field of behavioural cryptocurrency research. For all these reasons, a systematic literature review of cryptocurrencies in behavioural finance seems to be timely and particularly important.