Park Beum-Jo
Department of Economics, Dankook University, 126, Jukjeon-dong, Suji-gu, Yongin-si, Gyeonggi-do, 448-701, South Korea.
Res Int Bus Finance. 2022 Jan;59:101519. doi: 10.1016/j.ribaf.2021.101519. Epub 2021 Aug 26.
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.
本文为有关冠状病毒（COVID - 19）大流行对比特币期货（BTCF）市场影响的文献做出了贡献，并为正在进行的关于波动性（或回报）与交易行为变量（如成交量和未平仓合约，作为信念分散的代理指标）之间动态关系的研究提供了支持。本文重点关注COVID - 19大流行引发的前所未有的市场压力在各变量相互关系中所起的作用。据此，本文提出了一个结构变化（SC）- VAR - MGARCH模型，并发现COVID - 19大流行引发了显著的 regime 变化。此外，大流行前 regime 中各变量之间的关系明显不明确，而由于市场压力导致大流行 regime 中信念分散增加，这降低了BTCF回报，但显著提高了交易量和波动性。尽管关于动态关系的现有证据尚不明确，但大流行 regime 的结果与意见分歧模型非常一致。此外，这些结果支持了我们的假设，即除了信息流之外，导致交易者行为偏差的市场压力应被视为巨大价格波动的关键因素之一。
