A systematic literature review of investor behavior in the cryptocurrency markets

Almeida, J M de; Gonçalves, Tiago

doi:10.1016/j.jbef.2022.100785

Cited by 74 publications

(34 citation statements)

References 123 publications

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“…Recently, more attention has been paid to exogenous determinants of Bitcoin, including economic policy uncertainty (32), global geopolitical risks (33), investor sentiment (18,60), macroeconomic conditions (55), and the financial market (34, 55). Notably, a growing body of literature has explored the impact of investor attention on Bitcoin returns and volatility (12,30,39,(61)(62)(63). For example, Samles (12) suggested that increased investor attention is related to higher returns, more volatility, and larger illiquidity in the Bitcoin market.…”

Section: Bitcoin and Its Determinantsmentioning

confidence: 99%

The COVID-19 pandemic and Bitcoin: Perspective from investor attention

Wan

Zhu

2023

Front. Public Health

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The response of the Bitcoin market to the novel coronavirus (COVID-19) pandemic is an example of how a global public health crisis can cause drastic market adjustments or even a market crash. Investor attention on the COVID-19 pandemic is likely to play an important role in this response. Focusing on the Bitcoin futures market, this paper aims to investigate whether pandemic attention can explain and forecast the returns and volatility of Bitcoin futures. Using the daily Google search volume index for the “coronavirus” keyword from January 2020 to February 2022 to represent pandemic attention, this paper implements the Granger causality test, Vector Autoregression (VAR) analysis, and several linear effects analyses. The findings suggest that pandemic attention is a granger cause of Bitcoin returns and volatility. It appears that an increase in pandemic attention results in lower returns and excessive volatility in the Bitcoin futures market, even after taking into account the interactive effects and the influence of controlling other financial markets. In addition, this paper carries out the out-of-sample forecasts and finds that the predictive models with pandemic attention do improve the out-of-sample forecast performance, which is enhanced in the prediction of Bitcoin returns while diminished in the prediction of Bitcoin volatility as the forecast horizon is extended. Finally, the predictive models including pandemic attention can generate significant economic benefits by constructing portfolios among Bitcoin futures and risk-free assets. All the results demonstrate that pandemic attention plays an important and non-negligible role in the Bitcoin futures market. This paper can provide enlightens for subsequent research on Bitcoin based on investor attention sparked by public emergencies.

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Section: Bitcoin and Its Determinantsmentioning

confidence: 99%

The COVID-19 pandemic and Bitcoin: Perspective from investor attention

Wan

Zhu

2023

Front. Public Health

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“…Unlike more traditional asset classes, cryptocurrency prices are not primarily driven by concrete measures such as earnings. Cryptocurrency markets have been found to react to economic surprise shocks like traditional asset classes [ 3 ], and studies have also found that the cryptocurrency market is dominated by irrational investors who base their investment decisions on market sentiment [ 4 ]. This leads one to ask to what extent can future cryptocurrency returns be predicted by sentiment data and how does one go about making such predictions.…”

Section: Introductionmentioning

confidence: 99%

“…One limitation of these measures is that they are calculated periodically, such as every quarter, rather than in real-time. A comprehensive overview of studies on investor behavior can be found in [ 4 ].…”

Section: Introductionmentioning

confidence: 99%

Social media engagement and cryptocurrency performance

Qureshi

Zaman

2023

PLoS ONE

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Cryptocurrencies are highly speculative assets with large price volatility. If one could forecast their behavior, this would make them more attractive to investors. In this work we study the problem of predicting the future performance of cryptocurrencies using social media data. We propose a new model to measure the engagement of users with topics discussed on social media based on interactions with social media posts. This model overcomes the limitations of previous volume and sentiment based approaches. We use this model to estimate engagement coefficients for 48 cryptocurrencies created between 2019 and 2021 using data from Twitter from the first month of the cryptocurrencies’ existence. We find that the future returns of the cryptocurrencies are dependent on the engagement coefficients. Cryptocurrencies whose engagement coefficients have extreme values have lower returns. Low engagement coefficients signal a lack of interest, while high engagement coefficients signal artificial activity which is likely from automated accounts known as bots. We measure the amount of bot posts for the cryptocurrencies and find that generally, cryptocurrencies with more bot posts have lower future returns. While future returns are dependent on both the bot activity and engagement coefficient, the dependence is strongest for the engagement coefficient, especially for short-term returns. We show that simple investment strategies which select cryptocurrencies with engagement coefficients exceeding a fixed threshold perform well for holding times of a few months.

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“…Cryptocurrencies (cryptos) have experienced rapid development in the last years. They enjoyed increased attention from the media, investors, and regulators and became a popular asset in global financial markets (Almeida & Gonçalves, 2023). Specifically, many private investors have shown interest in cryptos, as for instance, 16% of the U.S. population have invested in, traded, or used cryptos at some time (Perrin, 2022).…”

Section: Introductionmentioning

confidence: 99%

CRYPTO‐MANIA: How fear‐of‐missing‐out drives consumers’ (risky) investment decisions

Friederich,

Meyer,

Matute

et al. 2023

Psychology and Marketing

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The cryptocurrencies (cryptos) market has undergone rapid development in the last years. Although this market is highly volatile and has frequently crashed, consumers show continued interest as well as widespread possession of such assets. Therefore, this research explores the mechanisms underlying consumers’ engagement in crypto trading. The results of five studies including eight experiments reveal that externally evoked fear‐of‐missing‐out (FOMO) appeals influence consumers’ investment decisions and that this effect is mediated by affective processes and moderated by impulsivity. The results further demonstrate that FOMO appeals lead consumers to repeated investment decisions, even if prior losses have been incurred. Finally, the findings suggest that the effects of FOMO can be mitigated via communication strategies (i.e., fear messages). The results provide notable implications for academics and policymakers concerned with consumers’ crypto engagement.

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A systematic literature review of investor behavior in the cryptocurrency markets

Cited by 74 publications

References 123 publications

The COVID-19 pandemic and Bitcoin: Perspective from investor attention

The COVID-19 pandemic and Bitcoin: Perspective from investor attention

Social media engagement and cryptocurrency performance

CRYPTO‐MANIA: How fear‐of‐missing‐out drives consumers’ (risky) investment decisions

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