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این مقاله علمی پژوهشی (ISI) به زبان انگلیسی از نشریه الزویر مربوط به سال ۲۰۲۲ دارای ۱۳ صفحه انگلیسی با فرمت PDF می باشد در ادامه این صفحه لینک دانلود رایگان مقاله انگلیسی و بخشی از ترجمه فارسی مقاله موجود می باشد.
کد محصول: H775
سال نشر: ۲۰۲۲
نام ناشر (پایگاه داده): الزویر
نام مجله: Research in International Business and Finance
نوع مقاله: علمی پژوهشی (Research articles)
تعداد صفحه انگلیسی: ۱۳ صفحه PDF
عنوان کامل فارسی:
مقاله انگلیسی ۲۰۲۲ : همه گیری کووید-۱۹، نوسانات و رفتار معاملاتی در بازار آتی بیتکوین
عنوان کامل انگلیسی:
The COVID-19 pandemic, volatility, and trading behavior in the bitcoin futures market
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Abstract
This paper contributes to the literature on the coronavirus (COVID-19) pandemic impacts on the Bitcoin futures (BTCF) market and to the ongoing consideration of the dynamic relationship between volatility (or returns) and trading behavior variables, such as volume and open interest as a proxy for belief dispersion. This paper focuses on the role of the unprecedented market stress induced by the COVID-19 pandemic in the interrelations among the variables. Accordingly, this paper proposes a structural change (SC)-VAR-MGARCH model and finds the COVID-19 pandemic has initiated a significant regime change. Furthermore, the relationship between the variables in the pre-pandemic regime is notably unclear, whereas an increase in belief dispersion in the pandemic regime due to market stress reduces BTCF returns but raises trading volume and volatility evidently. The outcomes in the pandemic regime are remarkably consistent with the difference of opinions model, though existing evidence on the dynamic relations is ambiguous. Moreover, the outcomes support our hypothesis that, in addition to information flows, market stress causing traders’ behavioral biases should be considered as one of the crucial factors of tremendous price variability.
Keywords: The COVID-19 pandemic, Returns volatility, Trading behavior, Volume, Open interest, Belief dispersion, Market stress, Bitcoin futures market
۱.Introduction
The current coronavirus (COVID-19) pandemic forces us to live in a socio-economic situation that is rarely experienced in the past.1 Economic collapse and widespread financial market stress will be featured in the literature in the following years. Market stress is apparent in other financial markets2, including the crypto market, though sharp price decline and tremendous equity market volatility have garnered considerable attention. COVID-19 has spread to countries outside of Mainland China. As a result, many investors switched from holding risky assets to perceived safe-haven assets due to mounting worries about the COVID-19 pandemic. Thus, worldwide equity markets that trade representative risky assets reported their largest single-week declines in the final week of February 2020 since the 2008 financial crisis. Moreover, the US equity market lost 12 percent of its value under enormous pressure .
۵.Concluding remarks
This paper explains the dynamic relationship between returns (or volatility) and trading behavior variables, such as trading volume and open interest, as a proxy for dispersion of traders’ beliefs on asset prices. Moreover, this study investigates how the COVID-19 pandemic impacts their interrelations. Accordingly, this paper considers the BTCF market for empirical analysis given its certain advantages and proposes the SC-VAR-MGARCH model.
This study contributes to literature in several ways. First, this study is significant in that it is the first to explore the impact of pandemic-induced market stress on the dynamic relationship between price and trading behavior variables in the futures market. Furthermore, this study also explains that the ongoing COVID-19 pandemic raises concerns about future market stress with greater economic risk. Second, this study finds that the COVID-19 pandemic has initiated a significant regime change. The estimated change point is on March 5, 2020, which is a few days ahead when the COVID-19 pandemic was declared. The declaration date may be a potential date of structural break. Third, this study can help investors, hedgers, and arbitrageurs expand their understanding of returns volatility sources and the dynamics of the relationships under extreme financial market stress beyond the BTCF market, thus establishing excellent trading and portfolio management strategies. The estimates of the SC-VAR-MGARCH models are remarkably consistent with the difference of opinions model during the pandemic-induced market stress, though existing evidence of the relationships are ambiguous. As a result, an increase in belief dispersion due to market stress reduces BTCF returns but significantly raises trading volume and volatility in the pandemic regime in contrast with the pre-pandemic regime. Therefore, our empirical results sufficiently support the SC-VAR-MGARCH model considering the pandemic-induced market stress and emphasize the intrinsic role of market stress causing traders’ behavioral biases, such as overreaction to news…
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