The determinants of positive feedback trading behaviors in Bitcoin markets

Jying-Nan Wang, Yen-Hsien Lee, Hung-Chun Liu and Ming-Chih Lee

Finance Research Letters, 2022, vol. 45, issue C

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.

Keywords: Bitcoin; Positive feedback trading; COVID-19; EMVID; Moving average (search for similar items in EconPapers)
JEL-codes: C14 C22 G14 G15 (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:45:y:2022:i:c:s1544612321002014

DOI: 10.1016/j.frl.2021.102120

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