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Predictability of crypto returns: The impact of trading behavior

Kwamie Dunbar and Johnson Owusu-Amoako

Journal of Behavioral and Experimental Finance, 2023, vol. 39, issue C

Abstract: We evaluate the ability of futures market participants’ trading behavior decisions to predict cryptocurrency 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.

Keywords: Trading behavior; Bitcoin futures; Cryptocurrency retail traders; Investor attention (search for similar items in EconPapers)
JEL-codes: C58 E20 G12 (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:beexfi:v:39:y:2023:i:c:s2214635023000266

DOI: 10.1016/j.jbef.2023.100812

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Journal of Behavioral and Experimental Finance is currently edited by Michael Dowling and Jürgen Huber

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