Browsing by Subject "Behavioral finance"
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Item Embargo Can investors’ informed trading predict cryptocurrency returns? Evidence from machine learning(Elsevier Inc., 2022-05-24) Wang, Y.; Wang, C.; Şensoy, Ahmet; Yao, S.; Cheng, F.As an emerging asset, cryptocurrencies have attracted more and more attention from investors and researchers in recent years. With the gradual convergence of the investors in cryptocurrency and traditional financial markets, the research on investor trading behavior from the perspective of microstructure has become increasingly important in cryptocurrency market. In this paper, we study whether investors’ informed trading behavior can significantly predict cryptocurrency returns. We use various machine learning algorithms to verify the contribution of informed trading to the predictability of cryptocurrency returns. The results show that informed trading plays a role in the prediction of some individual cryptocurrency returns, but it cannot significantly improve the prediction accuracy in an average sense of the whole market. The lack of market supervision of cryptocurrency market may be the main factor for relatively low efficiency of this market, and policymakers need to pay attention to it.Item Open Access Football and the risk-return relationship for a stock market: Borsa Istanbul(Routledge, 2013) Berument, Hakan; Ceylan, N. B.; Onar, B.We hypothesize that results of football (soccer) teams affect the risk perception of people. People choose riskier investments after a win and less risky investments after a loss; this leads to higher (lower) returns in the stock market. These hypotheses are tested for the international matches of Turkey's three most popular teams (Beşiktaş, Fenerbahçe, and Galatasaray). The empirical findings suggests that the teams' wins led to higher asset returns and lower risk aversion on the following business day of the Borsa Istanbul and lower returns and higher risk aversion after a loss or a tie. © 2013 M.E. Sharpe, Inc. All rights reserved.