593
Views
13
CrossRef citations to date
0
Altmetric
Research Article

Do investors feedback trade in the Bitcoin—and why?

, , ORCID Icon, ORCID Icon & ORCID Icon
Received 12 Dec 2020, Accepted 16 Aug 2021, Published online: 15 Sep 2021

References

  • Abel, Andrew.B. 1990. “Asset Prices Under Habit Formation and Catching up with the Joneses.” American Economic Review 80 (2): 38–42.
  • Aguirre, Maria Sophia, and Reza Saidi. 1999. “Feedback Trading in Exchange–Rate Markets: Evidence from Within and Across Economic Blocks.” Journal of Economics and Finance 23 (1): 1–14.
  • Amihud, Yakov. 2002. “Illiquidity and Stock Returns: Cross–Section and Time–Series Effects.” Journal of Financial Markets 5 (1): 31–56.
  • Andrikopoulos, Panagiotis, Yueting Cui, Samar Gad, and Vasileios Kallinterakis. 2020. “Feedback Trading and the Ramadan Effect in Frontier Markets.” Research in International Business and Finance 51: 101085.
  • Anghel, Dan-Gabriel. 2021. “A Reality Check on Trading Rule Performance in the Cryptocurrency Market: Machine Learning vs. Technical Analysis.” Finance Research Letters 39: 101655.
  • Antoniou, Antonios, Gregory Koutmos, and Andreas Pericli. 2005. “Index Futures and Positive Feedback Trading: Evidence from Major Stock Exchanges.” Journal of Empirical Finance 12 (2): 219–238.
  • Baig, Ahmed, Benjamin M. Blau, and Nasim Sabah. 2019. “Price Clustering and Sentiment in Bitcoin.” Finance Research Letters 29: 111–116.
  • Barber, Brad M., Yi-Tsung Lee, Yu-Jane Liu, and Terrance Odean. 2007. “Is the Aggregate Investor Reluctant to Realise Losses? Evidence from Taiwan.” European Financial Management 13 (3): 423–447.
  • Barber, Brad M., Yi–Tsung Lee, Yu–Jane Liu, and Terrance Odean. 2009. “Just How Much do Individual Investors Lose by Trading?” Review of Financial Studies 22 (2): 609–632.
  • Barber, Brad M., Yi–Tsung Lee, Yu–Jane Liu, and Terrance Odean. 2014. “The Cross–Section of Speculator Skill: Evidence from day Trading.” Journal of Financial Markets 18: 1–24.
  • Barberis, Nicholas, Andrei Shleifer, and Robert Vishny. 1998. “A Model of Investor Sentiment.” Journal of Financial Economics 49 (3): 307–343.
  • Barberis, Nicholas C., and Richard H. Thaler. 2003. “A Survey of Behavioral Finance.” In Handbook of Economics of Finance, edited by George M. Constantinides, Milton Harris, and Rene M. Stulz, 1053–1128. Amsterdam: Elsevier.
  • Baur, Dirk G., Daniel Cahill, Keith Godfrey, and Zhangxin Frank Liu. 2019. “Bitcoin Time-of-Day, Day-of-Week and Month-of-Year Effects in Returns and Trading Volume.” Finance Research Letters 31: 78–92.
  • Baur, Dirk G., and Thomas Dimpfl. 2018. “Asymmetric Volatility in Cryptocurrencies.” Economics Letters 173: 148–151.
  • Black, Fischer. 1986. “Noise.” Journal of Finance 41 (3): 529–543.
  • Blau, Benjamin M. 2017. “Price Dynamics and Speculative Trading in Bitcoin.” Research in International Business and Finance 41: 493–499.
  • Bollerslev, Tim, Robert F Engle, and Daniel B Nelson. 1994. “ARCH Models.” In Handbook of Econometrics, edited by Robert F. Engle, and Daniel L. McFadden, 2961–3038. Amsterdam: North Holland.
  • Bouri, Elie, Rangan Gupta, and David Roubaud. 2019. “Herding Behaviour in Cryptocurrencies.” Finance Research Letters 29: 216–221.
  • Brandvold, Morten, Peter Molnár, Kristian Vagstad, and Ole Christian Andreas Valstad. 2015. “Price Discovery on Bitcoin Exchanges.” Journal of International Financial Markets, Institutions and Money 36: 18–35.
  • Brennan, Michael J., and H. Henry Cao. 1997. “International Portfolio Investment Flows.” Journal of Finance 52 (5): 1851–1880.
  • Brown, Philip, Nick Chappel, Ray da Silva Rosa, and Terry Walter. 2006. “The Reach of the Disposition Effect: Large Sample Evidence Across Investor Classes.” International Review of Finance 6 (1–2): 43–78.
  • Celiker, Umut, Jaideep Chowdhury, and Gokhan Sonaer. 2015. “Do Mutual Funds Herd in Industries?” Journal of Banking and Finance 52: 1–16.
  • Chaim, Pedro, and Márcio P Laurini. 2018. “Volatility and Return Jumps in Bitcoin.” Economics Letters 173: 158–163.
  • Charteris, Ailie, Frankie Chau, Konstantinos Gavriilidis, and Vasileios Kallinterakis. 2014. “Premiums, Discounts and Feedback Trading: Evidence from Emerging Markets’ ETFs.” International Review of Financial Analysis 35: 80–89.
  • Chau, Frankie, and Rataporn Deesomsak. 2015. “Business Cycle Variation in Positive Feedback Trading: Evidence from the G–7 Economies.” Journal of International Financial Markets, Institutions and Money 35: 147–159.
  • Chau, Frankie, Rataporn Deesomsak, and Marco CK Lau. 2011. “Investor Sentiment and Feedback Trading: Evidence from the Exchange–Traded Fund Markets.” International Review of Financial Analysis 20 (5): 292–305.
  • Chau, Frankie, Phil Holmes, and Krishna Paudyal. 2008. “The Impact of Universal Stock Futures on Feedback Trading and Volatility Dynamics.” Journal of Business Finance and Accounting 35 (1–2): 227–249.
  • Cheah, Eng–Tuck, and John Fry. 2015. “Speculative Bubbles in Bitcoin Markets? An Empirical Investigation into the Fundamental Value of Bitcoin.” Economics Letters 130: 32–36.
  • Chelley-Steeley, Patricia, Neophytos Lambertides, and Christos S. Savva. 2019. “Sentiment, Order Imbalance, and co-Movement: An Examination of Shocks to Retail and Institutional Trading Activity.” European Financial Management 25 (1): 116–159.
  • Chester, Jonathan. 2017. “A New Way to Raise Money: The Initial Coin Offering.” Forbes, June 12.
  • Cheung, Adrian, Eduardo Roca, and Jen–Je Su. 2015. “Crypto–Currency Bubbles: An Application of the Phillips–Shi–Yu (2013) Methodology on Mt. Gox Bitcoin Prices.” Applied Economics 47 (23): 2348–2358.
  • Choe, Hyuk, Bong–Chan Kho, and Rene M. Stulz. 1999. “Do Foreign Investors Destabilize Stock Markets? The Korean Experience in 1997.” Journal of Financial Economics 54 (2): 227–264.
  • Choi, Hyungeun. forthcoming. “Investor Attention and Bitcoin Liquidity: Evidence from Bitcoin Tweets.” Finance Research Letters, 101555.
  • Choi, Nicole, and Richard W Sias. 2009. “Institutional Industry Herding.” Journal of Financial Economics 94 (3): 469–491.
  • Choi, Nicole, and Hilla Skiba. 2015. “Institutional Herding in International Markets.” Journal of Banking & Finance 55: 246–259.
  • Choi, S.-Y. (2020). “Industry Volatility and Economic Uncertainty Due to the Covid-19 Pandemic: Evidence from Wavelet Coherence Analysis.” Finance Research Letters.
  • Chu, Jeffrey, Stephen Chan, and Yuanyuan Zhang. 2020. “High Frequency Momentum Trading with Cryptocurrencies.” Research in International Business and Finance 52: 101176.
  • Clapp, John M, and Dogan Tirtiroglu. 1994. “Positive Feedback Trading and Diffusion of Asset Price Changes: Evidence from Housing Transactions.” Journal of Economic Behavior and Organization 24 (3): 337–355.
  • Cohen, Benjamin H, and Hyun Song Shin. 2003. “Positive Feedback Trading under Stress: Evidence from the US Treasury Securities Market.” Working paper London School of Economics.
  • Colwell, David, Julia Henker, and Terry Walter. 2008. “Effect of Investor Category Trading Imbalances on Stock Returns.” International Review of Finance 8 (3–4): 179–206.
  • Corbet, Shaen, Grace McHugh, and Andrew Meegan. 2017. “The Influence of Central Bank Monetary Policy Announcements on Cryptocurrency Return Volatility.” Investment Management and Financial Innovations 14 (4): 60–72.
  • Cutler, David M., James M. Poterba, and Lawrence H. Summers. 1990. “Speculative Dynamics and the Role of Feedback Traders.” American Economic Review 58 (195): 61–68.
  • Dahlquist, Magnus, and Göran Robertsson. 2001. “Direct Foreign Ownership, Institutional Investors, and Firm Characteristics.” Journal of Financial Economics 59 (3): 413–440.
  • Danielsson, Jon, and Ryan Love. 2006. “Feedback Trading.” International Journal of Finance and Economics 11 (1): 35–53.
  • DeLong, J. Bradford, Andrei Shleifer, Lawrence H. Summers, and Robert J. Waldmann. 1990. “Positive Feedback Investment Strategies and Destabilizing Rational Speculation.” Journal of Finance 45 (2): 379–395.
  • Dorn, Daniel, Gur Huberman, and Paul Sengmueller. 2008. “Correlated Trading and Returns.” Journal of Finance 63 (2): 885–920.
  • Dowd, Kevin. 2014. New Private Monies: A Bit–Part Player? London: Institute of Economic Affairs Monographs, Hobart Paper 174.
  • Eom, Cheoljun, Taisei Kaizoji, Sang Hoon Kang, and Lukas Pichl. 2019. “Bitcoin and Investor Sentiment: Statistical Characteristics and Predictability.” Physica A: Statistical Mechanics and its Applications 514: 511–521.
  • Eross, Andrea, Frank McGroarty, Andrew Urquhart, and Simon Wolfe. 2019. “The Intraday Dynamics of Bitcoin.” Research in International Business and Finance 49: 71–81.
  • Fama, Eugene F. 1991. “Efficient Capital Markets: II.” Journal of Finance 46 (5): 1575–1617.
  • Fantazzini, Dean, Erik Nigmatullin, Vera Sukhanovskaya, and Sergey Ivliev. 2016. “Everything you Always Wanted to Know About Bitcoin Modelling but Were Afraid to Ask.” Applied Econometrics 44: 5–24.
  • Farmer, J. Doyne. 2002. “Market Force, Ecology and Evolution.” Industrial and Corporate Change 11 (5): 895–953.
  • Farmer, J. Doyne, and Shareen Joshi. 2002. “The Price Dynamics of Common Trading Strategies.” Journal of Economic Behavior & Organization 49 (2): 149–171.
  • Fong, Wai Mun, and Lawrence HM Yong. 2005. “Chasing Trends: Recursive Moving Average Trading Rules and Internet Stocks.” Journal of Empirical Finance 12 (1): 43–76.
  • Forgas, Joseph. 1998. “On Being Happy and Mistaken: Mood Effects on the Fundamental Attribution Error.” Journal of Personality and Social Psychology 75 (2): 318–331.
  • Frijns, Bart, Aaron B Gilbert, and Remco CJ Zwinkels. 2013. “On the Style–Based Feedback Trading of Mutual Fund Managers.” Journal of Financial and Quantitative Analysis 51 (3): 771–800.
  • Froot, Kenneth A, Paul G. J. O’connell, and Mark S. Seasholes. 2001. “The Portfolio Flows of International Investors.” Journal of Financial Economics 59 (2): 151–193.
  • Froot, Kenneth, and Melvyn Teo. 2008. “Style Investing and Institutional Investors.” Journal of Financial and Quantitative Analysis 43 (4): 883–906.
  • Fry, John, and Eng–Tuck Cheah. 2016. “Negative Bubbles and Shocks in Cryptocurrency Markets.” International Review of Financial Analysis 47: 343–352.
  • Galariotis, Emilios C. 2014. “Contrarian and Momentum Trading: a Review of the Literature.” Review of Behavioral Finance 6 (1): 63–82.
  • Gkillas, Konstantinos, and Paraskevi Katsiampa. 2018. “An Application of Extreme Value Theory to Cryptocurrencies.” Economics Letters 164: 109–111.
  • Glosten, Lawrence R, Ravi Jagannathan, and David E Runkle. 1993. “On the Relation Between the Expected Value and the Volatility of the Nominal Excess Return on Stocks.” Journal of Finance 48 (5): 1779–1801.
  • Gregory, Richard P, Carolyn F Rochelle, and Steve G Rochelle. 2013. “Positive Feedback Trading: Google Trends and Feeder Cattle Futures.” Journal of Applied Business Research 29 (5): 1325–1332.
  • Grinblatt, Mark, and Matti Keloharju. 2000. “The Investment Behavior and Performance of Various Investor Types: a Study of Finland's Unique Data set.” Journal of Financial Economics 55 (1): 43–67.
  • Grinblatt, Mark, and Matti Keloharju. 2001. “What Makes Investors Trade?” The Journal of Finance 56 (2): 589–616.
  • Grinblatt, Mark, Sheridan Titman, and Russ Wermers. 1995. “Momentum Investment Strategies, Portfolio Performance, and Herding: A Study of Mutual Fund Behavior.” American Economic Review 85 (5): 1088–1105.
  • Hirshleifer, David, and Siew Hong Teoh. 2003. “Limited Attention, Information Disclosure, and Financial Reporting.” Journal of Accounting and Economics 36 (1–3): 337–386.
  • Hitam, Nor Azizah, Amelia Ritahani Ismail, and Faisal Saeed. 2019. “An Optimized Support Vector Machine (SVM) Based on Particle Swarm Optimization (PSO) for Cryptocurrency Forecasting.” Procedia Computer Science 163: 427–433.
  • Hung, Weifeng, Chia–Chi Lu, and Cheng F. Lee. 2010. “Mutual Fund Herding its Impact on Stock Returns: Evidence from the Taiwan Stock Market.” Pacific-Basin Finance Journal 18 (5): 477–493.
  • Kaiser, Lars, and Sebastian Stöckl. 2020. “Cryptocurrencies: Herding and the Transfer Currency.” Finance Research Letters 33: 101214.
  • Kalev, Petko S, Anh H Nguyen, and Natalie Y Oh. 2008. “Foreign Versus Local Investors: Who Knows More? Who Makes More?” Journal of Banking and Finance 32 (11): 2376–2389.
  • Kallinterakis, Vasileios, Fei Liu, Athanasios Pantelous, and Jia Shao. 2020. “Pricing Inefficiencies and Feedback Trading: Evidence from Country ETFs.” International Review of Financial Analysis 70: 101498.
  • Kallinterakis, Vasileios, and Ying Wang. 2019. “Do Investors Herd in Cryptocurrencies–and why?” Research in International Business and Finance 50: 240–245.
  • Katsiampa, Paraskevi. 2017. “Volatility Estimation for Bitcoin: A Comparison of GARCH Models.” Economics Letters 158: 3–6.
  • Katsiampa, Paraskevi, Shaen Corbet, and Brian Lucey. 2019. “Volatility Spillover Effects in Leading Cryptocurrencies: A BEKK–MGARCH Analysis.” Finance Research Letters 29: 68–74.
  • Kim, Woochan, and Shang–Jin Wei. 2002a. “Foreign Portfolio Investors Before and During a Crisis.” Journal of International Economics 56 (1): 77–96.
  • Kim, Woochan, and Shang–Jin Wei. 2002b. “Offshore Investment Funds: Monsters in Emerging Markets?” Journal of Development Economics 68 (1): 205–224.
  • King, Tim, and Dimitrios Koutmos. 2021. “Herding and Feedback Trading in Cryptocurrency Markets.” Annals of Operations Research 300: 79–96.
  • Kodres, Laura E. 1994. “The Existence and Impact of Destabilizing Positive Feedback Traders: Evidence from the S&P 500 Index Futures Market.” Finance and Economics Discussion Series (No. 94–9), Board of Governors of the Federal Reserve System (US).
  • Koutmos, Gregory. 1997. “Feedback Trading and the Autocorrelation Pattern of Stock Returns: Further Empirical Evidence.” Journal of International Money and Finance 16 (4): 625–636.
  • Koutmos, Gregory. 2014. “Positive Feedback Trading: A Review.” Review of Behavioral Finance 6 (2): 155–162.
  • Koutmos, Gregory, and Reza Saidi. 2001. “Positive Feedback Trading in Emerging Capital Markets.” Applied Financial Economics 11 (3): 291–297.
  • Kremer, Stephanie, and Dieter Nautz. 2013. “Causes and Consequences of Short–Term Institutional Herding.” Journal of Banking and Finance 37 (5): 1676–1686.
  • Kristoufek, Ladislav. 2015. “What are the Main Drivers of the Bitcoin Price? Evidence from Wavelet Coherence Analysis.” PloS One 10 (4): e0123923.
  • Kumar, Alok, and Charles M. C. Lee. 2006. “Retail Investor Sentiment and Return Comovements.” Journal of Finance 61 (5): 2451–2486.
  • Kurov, Alexander. 2008. “Investor Sentiment, Trading Behavior and Informational Efficiency in Index Futures Markets.” Financial Review 43 (1): 107–127.
  • Lakonishok, Josef, Andrei Shleifer, and Robert W Vishny. 1992. “The Impact of Institutional Trading on Stock Prices.” Journal of Financial Economics 32 (1): 23–43.
  • Lamont, Owen A., and Richard H. Thaler. 2003. “Can the Market add and Subtract? Mispricing in Tech Stock Carve-Outs.” Journal of Political Economy 111 (2): 227–268.
  • Laopodis, Nikiforos T. 2005. “Feedback Trading and Autocorrelation Interactions in the Foreign Exchange Market: Further Evidence.” Economic Modelling 22 (5): 811–827.
  • Lin, Anchor Y, and Peggy E Swanson. 2008. “Foreigners’ Perceptions of US Markets: Do Foreigners Exhibit Herding Tendencies?” Journal of Economics and Business 60 (3): 179–203.
  • Miwa, Kotaro, and Kazuhiro Ueda. 2011. “A Dynamic Volume–Return Relation and Investors’ Positive Feedback Trading.” International Review of Finance 11 (3): 325–351.
  • Nazário, Rodolfo Toríbio Farias, Lima e Silva, Jéssica Sobreiro, Vinicius Amorim, and Herbert Kimura. 2017. “A Literature Review of Technical Analysis on Stock Markets.” Quarterly Review of Economics and Finance 66: 115–126.
  • O’Hara, Maureen. 1995. Market Microstructure Theory. Cambridge, Mass: Blackwell Publishers.
  • Osler, Carol L. 2005. “Stop–Loss Orders and Price Cascades in Currency Markets.” Journal of International Money and Finance 24 (2): 219–241.
  • Phillip, Andrew, Jennifer SK Chan, and Shelton Peiris. 2018. “A New Look at Cryptocurrencies.” Economics Letters 163: 6–9.
  • Schuppli, Michael, and Martin T Bohl. 2010. “Do Foreign Institutional Investors Destabilize China’s A–Share Markets?” Journal of International Financial Markets, Institutions and Money 20 (1): 36–50.
  • Schwarz, Norbert. 1990. “Feelings as Information: Informational and Motivational Functions of Affective States.” In Handbook of Motivation and Cognition, Vol. 2, edited by E. T. Higgins, 527–561. New York: Guildford Press.
  • Sentana, Enrique, and Sushil Wadhwani. 1992. “Feedback Traders and Stock Return Autocorrelations: Evidence from a Century of Daily Data.” Economic Journal 102 (411): 415–425.
  • Sias, Richard W. 2004. “Institutional Herding.” Review of Financial Studies 17 (1): 165–206.
  • Silva, Paulo Vitor Jordão da Gama, Augusto F. C. Neto, Marcelo Cabus Klotzle, and Leonardo Lima Gomes. 2019. “Does the Cryptocurrency Market Exhibits Feedback Trading?” Economics Bulletin 39 (4): 2830–2838.
  • Söylemez, Yakup. 2019. “Cryptocurrency Derivatives: The Case of Bitcoin.” In Blockchain Economics and Financial Market Innovation, edited by Umit Hacioglu, 515–530. New York: Springer.
  • Takaishi, Tetsuya. 2018. “Statistical Properties and Multifractality of Bitcoin.” Physica A: Statistical Mechanics and Its Applications 506: 507–519.
  • Torres, Romina, Miguel A. Solis, Rodrigo Salas, and Aurelio F Bariviera. 2020. “A Dynamic Linguistic Decision Making Approach for a Cryptocurrency Investment Scenario.” IEEE Access 8: 228514–228524.
  • Troster, Victor, Aviral Kumar Tiwari, Muhammad Shahbaz, and Demian Nicolás Macedo. 2019. “Bitcoin Returns and Risk: A General GARCH and GAS Analysis.” Finance Research Letters 30: 187–193.
  • Vidal-Tomás, David. 2020. “All the Frequencies Matter in the Bitcoin Market: An Efficiency Analysis.” Applied Economics Letters, fortcoming.
  • Vidal-Tomás, David, Ana M. Ibáñez, and José E. Farinós. 2019. “Herding in the Cryptocurrency Market: CSSD and CSAD Approaches.” Finance Research Letters 30: 181–186.
  • Voronkova, Svitlana, and Martin T. Bohl. 2005. “Institutional Traders’ Behavior in an Emerging Stock Market: Empirical Evidence on Polish Pension Fund Investors.” Journal of Business Finance and Accounting 32 (7–8): 1537–1560.
  • Walter, Andreas, and Friedrich Moritz Weber. 2006. “Herding in the German Mutual Fund Industry.” European Financial Management 12 (3): 375–406.
  • Watanabe, Toshiaki. 2002. “Margin Requirements, Positive Feedback Trading, and Stock Return Autocorrelations: the Case of Japan.” Applied Financial Economics 12 (6): 395–403.
  • Weber, Beat. 2016. “Bitcoin and the Legitimacy Crisis of Money.” Cambridge Journal of Economics 40 (1): 17–41.
  • Wermers, Russ. 1999. “Mutual Fund Herding and the Impact on Stock Prices.” Journal of Finance 54 (2): 581–622.
  • Wu, Jingnan, Finbarr Murphy, John Garvey, and Weifeng Ma. 2015. “The Role of Market Participants in Agricultural Futures Markets.” Outlook on Agriculture 44 (2): 97–108.
  • Wylie, Sam. 2005. “Fund Manager Herding: A Test of the Accuracy of Empirical Results Using UK Data.” Journal of Business 78 (1): 381–403.
  • Yelowitz, Aaron, and Matthew Wilson. 2015. “Characteristics of Bitcoin Users: An Analysis of Google Search Data.” Applied Economics Letters 22 (13): 1030–1036.
  • Yermack, David. 2015. “Is Bitcoin a Real Currency? An Economic Appraisal.” In Handbook of Digital Currency, edited by David Lee Kuo Chuen, 31–43. Amsterdam: Elsevier.
  • Zargar, Faisal Nazir, and Dilip Kumar. 2019. “Informational Efficiency of Bitcoin: A Study Based on High-Frequency Data.” Research in International Business and Finance 47: 344–353.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.