Do investors feedback trade in the Bitcoin—and why?
基于Bitstamp数据，实证检验比特币市场中反馈交易者的存在及其受情绪、成交量、流动性等噪声因素在不同频率下的影响，发现高频正反馈交易在情绪高涨、流动性高时更显著。
We empirically examine whether feedback traders are active in the Bitcoin and the extent to which their presence is affected by a series of noise-related factors (sentiment; volume; liquidity) at three different frequencies (hourly; daily; weekly) for the April 2013–July 2019 period based on Bitstamp data. Our findings suggest that positive feedback trading grows stronger for higher (hourly; daily) frequencies, with its presence manifesting itself mainly during periods of high/improving sentiment and high/rising volume/liquidity. Additional tests reveal that the significance of hourly feedback trading is identified during hours corresponding to the trading hours of major European/North American markets. Overall, our results confirm extant literature evidence on the prevalence of noise trading in cryptocurrencies, while further showcasing that the factors motivating feedback trading in other asset classes (equities; ETFs; futures) exhibit similar effects over the presence of feedback traders in the cryptocurrency market.