Exploring the Driving Forces of Stock-Cryptocurrency Comovements during COVID-19 Pandemic: An Analysis Using Wavelet Coherence and Seemingly Unrelated Regression

Abdul-Rahim, Ruzita; Khalid, Airil; Karim, Zulkefly Abdul; Rashid, Mamunur

doi:10.3390/math10122116

Cited by 6 publications

(1 citation statement)

References 38 publications

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“…The market for cryptocurrencies has expanded quickly since the global financial crisis, which suggests that people are losing faith in the current financial system (Abdeldayem and Aldulaimi, 2020b, 2022a, 2022b). As a result of their high investment returns and hedging opportunities, cryptocurrencies have drawn a lot of attention from academics and market participants (Youssef and Waked, 2022; Sukumaran et al , 2022a, 2022b; Abdul-Rahim et al , 2022). This issue's primary focus has been on the factors that affect how much these assets cost.…”

Section: Introductionmentioning

confidence: 99%

Investment decisions determinants in the GCC cryptocurrency market: a behavioural finance perspective

Abdeldayem

Aldulaimi

2023

IJOA

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Purpose This study aims to investigate the impact of financial and behavioural factors on investment decisions in the cryptocurrency market within the Gulf Cooperation Council (GCC). Design/methodology/approach The study uses the cross-sectional absolute deviation methodology developed by Chang et al. (2000) to determine the existence of herding behaviour during extreme conditions in the cryptocurrency market of four GCC countries: Bahrain, Saudi Arabia, Kuwait and UAE. In addition, a questionnaire survey was distributed to 322 investors from the GCC cryptocurrency markets to gather data on their investment decisions. Findings The study finds that the herding theory, prospect theory and heuristics theory account for 16.5% of the variance in investors' choices in the GCC cryptocurrency market. The regression analysis results show no multicollinearity problems, and a high F-statistic indicates the general model's acceptability in the results. Practical implications The study's findings suggest that behavioural and financial factors play a significant role in investors' choices in the GCC cryptocurrency market. The study's results can be used by investors to better understand the impact of these factors on their investment decisions and to develop more effective investment strategies. In addition, the study's findings can be used by policymakers to develop regulations that consider the impact of behavioural and financial factors on the GCC cryptocurrency market. Originality/value This study adds to the body of literature in two different ways. Initially, motivated by earlier research examining the impact of behaviour finance factors on investment decisions, the authors look at how the behaviour finance factors affect investment decisions of the GCC cryptocurrency market. To extend most of these studies, this study uses a regime-switching model that accounts for two different market states. Second, by considering the recent crisis and more recent periods involving more cryptocurrencies, the authors have contributed to several studies examining the impact of behavioural financial factors on investment decisions in cryptocurrency markets. In fact, very few studies have examined the impact of behavioural finance on cryptocurrency markets. Therefore, to the best of the authors’ knowledge, this study is the first of its kind to investigate how behavioural finance factors influence investment decisions in the GCC cryptocurrency market. This allows to better illuminate the factors driving herd behaviour in the GCC cryptocurrency market.

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