ecpolicyЭкономическая политикаEconomic Policy1994-51242411-2658Economic Policy10.18288/1994-5124-2020-3-74-105ecpolicy-731Research ArticleФИНАНСОВЫЕ РЫНКИFINANCIAL MARKETSРынок криптовалют: сверхреакция на новости и стадные инстинктыCryptocurrency Market: Overreaction to News and Herd InstinctsМалкинаМ. Ю.Malkina,M. Yu.

Марина Юрьевна Малкина —  доктор экономических наук,  профессор кафедры экономической  теории и методологии, руководитель Центра макро- и микроэкономики Института экономики и предпринимательства

603000,  Нижний Новгород, Университетский пер., 7

Marina Yu. Malkina, Dr. Sci. (Econ.)

7, Universitetskiy per., Nizhny Novgorod, 603000

mmuri@yandex.ruОвчинниковВ. Н.OvchinnikovV. N.

Вячеслав Николаевич Овчинников —  лаборант-исследователь Центра макроэкономических исследований; младший научный сотрудник Центра  макро- и микроэкономики Института экономики и предпринимательства

127006, Москва, Настасьинский пер., 3

603000,  Нижний Новгород, Университетский пер., 7

Vyacheslav N. Ovchinnikov

3, Nastas’inskiy per., Moscow, 127006

7, Universitetskiy per., Nizhny Novgorod, 603000

ovchinnikov@nifi.ruНациональный исследовательский Нижегородский государственный университет им. Н. И. ЛобачевскогоРоссияLobachevsky State University of Nizhni NovgorodRussian FederationНаучно-исследовательский финансовый институт Министерства финансов РФ; Национальный исследовательский Нижегородский государственный университет им. Н. И. ЛобачевскогоРоссияFinancial Research Institute of the Ministry of Finance of the Russian Federation; Lobachevsky State University of Nizhni NovgorodRussian Federation20202806202015374105Copyright © Малкина М.Ю., Овчинников В.Н., 20202020Малкина М.Ю., Овчинников В.Н.Malkina, M.Y., Ovchinnikov V.N.Данная работа распространяется под лицензией Creative Commons Attribution 4.0.This work is licensed under a Creative Commons Attribution 4.0 License.https://www.ecpolicy.ru/jour/article/view/731

Целью настоящего исследования является изучение отдельных свойств криптовалютного рынка. Руководствуясь концепцией предполагаемой волатильности, авторы изучили свойство асимметрии реакции рынка на новости. На основе концепции реализованной волатильности проверена гипотеза о стадных инстинктах. Для тестирования свойств рынка использована целая комбинация методов — от анализа статистики поисковых запросов, интерпретируемых как прокси-переменная спроса на информацию со стороны «широкой толпы» и профессиональных участников рынка, до продвинутых моделей условной волатильности с переключением рыночных режимов (Markov-Switching GARCH-моделей) и гетерогенных авторегрессионных моделей реализованной волатильности (HAR-RV-J-моделей). В ходе исследования обнаружены разные типы асимметричной реакции рынка криптовалют на новостной фон. В период восходящего ценового ралли и перегрева рынка инвесторы намеренно избегали плохих новостей, в результате наблюдалась обратная (принятому эффекту рычага) асиммет рия на рынке криптовалют. При нисходящем ралли, напротив, проявлялась избыточная реакция участников рынка на плохие новости. Кроме того, наблюдаемая в период низкой волатильности рынка ассиметричная реакция на новости фактически исчезала по мере роста амплитуды колебаний доходности криптовалют. Поведение краткосрочных инвесторов на разных интервалах исследования также оказалось различным. Если в период поступательного роста рынка мелкие спекулянты скорее следовали собственным торговым стратегиям, то во время ажиотажа они заимствовали практики торговли самых крупных игроков. Отмечено, что с течением времени мелкие инвесторы уже в меньшей степени поддавались на провокации со стороны крупных игроков, что не позволило ралли 2019 года превзойти свой аналог образца 2017-го — как по амплитуде колебаний доходности, так и по его продолжительности.

We studied the specific properties of the cryptocurrency market. Guided by the concept of implied volatility, we investigated the asymmetric reaction of the market to news. Based on the concept of realized volatility, we verified the hypothesis of herding behavior in the market. To test the properties of the market, we used a combination of methods, starting from the analysis of statistics of search queries, interpreted as proxies of information demand from professional market participants and the “wide crowd”, and ending with advanced Markov-Switching GARCH models and heterogeneous autoregressive models of realized volatility (HAR-RV-J-models). As a result, we found various types of asymmetric reactions of the cryptocurrency market to news related to both the general direction of its dynamics (growth or decrease) and the amplitude of return fluctuations (high or low volatility). During the upward price rally and overheating of the market, investors deliberately avoided the bad news; thereby the asymmetry in the cryptocurrency market was inverse (to the adopted leverage effect). On the contrary, during the downward price rally, market participants exhibited an overreaction to bad news. In addition, the asymmetric reaction to the news observed during the period of low market volatility actually disappeared when the amplitude of cryptocurrency return volatility increased. The behavior of short-term investors was also varied in the study period. While during the growth of the market, small speculators were more likely to follow their own trading strategies, during the hype they borrowed the trading practices of the largest players. We also revealed the effect of training among small investors: over time, they became less prone to provocations from large players, which did not allow the 2019 rally to surpass its counterpart in 2017 in terms of both return oscillations and duration.

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The authors declare that there are no conflicts of interest present.