An analysis of investors' behavior in Bitcoin market

As an emerging digital asset, Bitcoin has been traded for more than a decade, reaching an impressively high market capitalization and continuing to expand its volume of trading at a rapid pace. Many countries have legalized or are considering legalizing a trading platform for this asset, and a set o...

Full description

Saved in:
Bibliographic Details
Published in:PloS one 2022-03, Vol.17 (3), p.e0264522
Main Authors: Diaconaşu, Delia-Elena, Mehdian, Seyed, Stoica, Ovidiu
Format: Article
Language:English
Subjects:
Crypto-currencies
Currency
Digital currencies
Efficiency
Efficient markets
Electronic trading (Securities)
Evaluation
Finance
Hypotheses
Industrial efficiency
Investments
Medicine and Health Sciences
Pandemics
Physical Sciences
Planning
Prices
Pricing policies
Research and Analysis Methods
Skewness
Social Sciences
Uncertainty
Volatility
Citations: Items that this one cites
Items that cite this one
Online Access:Get full text
Tags: Add Tag
No Tags, Be the first to tag this record!
Description
Summary:As an emerging digital asset, Bitcoin has been traded for more than a decade, reaching an impressively high market capitalization and continuing to expand its volume of trading at a rapid pace. Many countries have legalized or are considering legalizing a trading platform for this asset, and a set of companies worldwide accept it as a medium of exchange. As a result of this expansion, many studies in finance literature have focused on studying the efficiency of this cryptocurrency. In line with this literature, this paper investigates, using the abnormal returns and abnormal trading volumes methodologies, the dynamics of investors' reaction to the arrival of unexpected favorable and unfavorable information regarding the Bitcoin market in the context of the three famous hypotheses: the overreaction, the uncertain information, and the efficient market hypotheses. Overall, we find evidence confirming that the Bitcoin market tends to mature over time. More precisely, over the entire analyzed period, investors behave in accordance with the predictions of the uncertain information hypothesis when positive and negative events occur. However, splitting the timespan into sub-periods provides interesting insights. Remarkably in this respect is the fact that starting with the second sub-period, the response of investors in the Bitcoin market supports, in a moderate manner, the postulate of the efficient market hypothesis when favorable events are addressed. Moreover, our findings reveal that during the pandemic period, the efficiency of Bitcoin has increased, thus turning this stressful period into an advantage for this cryptocurrency. This improved market efficiency is also supported by the abnormal trading volume analysis.
ISSN:1932-6203
1932-6203
DOI:10.1371/journal.pone.0264522