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Predictability of crypto returns: The impact of trading behavior

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  • Dunbar, Kwamie
  • Owusu-Amoako, Johnson

Abstract

We evaluate the ability of futures market participants’ trading behavior decisions to predict cryptocurrency returns. We establish that cryptocurrency returns are driven and predicted by the trading behavior of speculative retail traders. We document that the net-short trading behavior of speculative retail traders is an economically strong and statistically significant determinant of cryptocurrency returns. Further, our findings indicate that changes in the net-short trading behavior remained strong even after controlling for other known predictors such as investor attention, crypto market uncertainty, sentiment, and prior returns.

Suggested Citation

  • Dunbar, Kwamie & Owusu-Amoako, Johnson, 2023. "Predictability of crypto returns: The impact of trading behavior," Journal of Behavioral and Experimental Finance, Elsevier, vol. 39(C).
    • Handle: RePEc:eee:beexfi:v:39:y:2023:i:c:s2214635023000266
    DOI: 10.1016/j.jbef.2023.100812
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    Keywords

    Trading behavior; Bitcoin futures; Cryptocurrency retail traders; Investor attention;
    All these keywords.

    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • E20 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - General (includes Measurement and Data)
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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