Feedback trading in the cryptocurrency market
Studies in Economics and Finance
ISSN: 1086-7376
Article publication date: 17 May 2023
Issue publication date: 25 January 2024
Abstract
Purpose
This paper aims to investigate feedback trading and autocorrelation behavior in the cryptocurrency market.
Design/methodology/approach
It uses the GJR-GARCH model to investigate feedback trading in the cryptocurrency market.
Findings
The findings show a negative relationship between trading volume and autocorrelation in the cryptocurrency market. The GJR-GARCH model shows that only the USD Coin and Binance USD show an asymmetric effect or leverage effect. Interestingly, other cryptocurrencies such as Ethereum, Binance Coin, Ripple, Solana, Cardano and Bitcoin Cash show the opposite behavior of the leverage effect. The findings of the GJR-GARCH model also show positive feedback trading for USD Coin, Binance USD, Ripple, Solana and Bitcoin Cash and negative feedback trading for Ethereum and Cardano only.
Originality/value
This paper contributes to the literature by extending Sentana and Wadhwani (1992) to explore the presence of feedback trading in the cryptocurrency market using a sample of the most active cryptocurrencies other than Bitcoin, namely, Ethereum, USD coin, Binance Coin, Binance USD, Ripple, Cardano, Solana and Bitcoin Cash.
Keywords
Citation
Ahmed, M.S., Alsamman, A. and Chebbi, K. (2024), "Feedback trading in the cryptocurrency market", Studies in Economics and Finance, Vol. 41 No. 1, pp. 46-63. https://doi.org/10.1108/SEF-02-2023-0096
Publisher
:Emerald Publishing Limited
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