Scholarlink

<p>This study examines the impact of investor overconfidence bias on the excessive volatility of the Bitcoin market. While this behavioral bias has been widely explored in traditional financial markets, empirical evidence within cryptocurrency markets remains limited. To address this gap, we employ an empirical approach that combines Granger causality tests and ARMA-EGARCH modeling. The results reveal a significant unidirectional causality from past returns to trading volume, suggesting that investors become more confident and increase their trading activity following positive returns. Consistent with previous literature (Gervais and Odean (Rev Financ Stud 14(1):1–27, <CitationRef CitationID="CR13">2001</CitationRef>); Statman et al. (Rev Financ Stud 19(4):1531–1565, <CitationRef CitationID="CR35">2006</CitationRef>); Abbes and Trichilli (Int Res J Financ Econ 5:7–25, <CitationRef CitationID="CR23">2006</CitationRef>)), trading volume is used as a proxy for overconfidence, as higher trading activity reflects investors’ overestimation of their skills and private information. The findings also indicate that overconfidence has a positive and significant effect on Bitcoin’s conditional volatility. These results extend behavioral finance research to cryptocurrency markets and highlight the role of psychological biases in driving market volatility.</p>

错误：搜索内容不能为空，请输入英文关键词
错误：关键词超出字数限制，请精简
高级检索

Overconfidence bias: explaining Bitcoin’s market anomalies

  • 期刊论文

  • 发表日期：

    2025年12月11日

查看全文
  • Belhadj Hana,
  • Ben Hamad Salah

摘要

This study examines the impact of investor overconfidence bias on the excessive volatility of the Bitcoin market. While this behavioral bias has been widely explored in traditional financial markets, empirical evidence within cryptocurrency markets remains limited. To address this gap, we employ an empirical approach that combines Granger causality tests and ARMA-EGARCH modeling. The results reveal a significant unidirectional causality from past returns to trading volume, suggesting that investors become more confident and increase their trading activity following positive returns. Consistent with previous literature (Gervais and Odean (Rev Financ Stud 14(1):1–27, 2001); Statman et al. (Rev Financ Stud 19(4):1531–1565, 2006); Abbes and Trichilli (Int Res J Financ Econ 5:7–25, 2006)), trading volume is used as a proxy for overconfidence, as higher trading activity reflects investors’ overestimation of their skills and private information. The findings also indicate that overconfidence has a positive and significant effect on Bitcoin’s conditional volatility. These results extend behavioral finance research to cryptocurrency markets and highlight the role of psychological biases in driving market volatility.