Intraday patterns of price clustering in Bitcoin

In this study, an investigation is conducted into the phenomenon of price clustering in Bitcoin (BTC) denominated in the Japanese yen (JPY). It answers two questions using tick-by-tick data. The first is whether price clustering exists in BTC/JPY transactions, and the other is how the scale of price clustering varies throughout a trading day. With the assistance of statistical measures, the last two digits of BTC price were discovered to cluster at the numbers that end with ’00’. In addition, the scales of BTC/JPY clustering at ’00’ tended to decline at the specific hour intervals. This study contributes to the emerging literature on price clustering and investor behavior.

Investor behavior patterns in the financial market

The article summarizes the approaches to the formation of the model of investor behavior and identifies the cause and effect relationships between the actions of individual financial market players, highlights their sustainable priorities and irrational components of behavior, as well as market conditions and experience. It is argued that in unstable conditions the behavior and opinion of individual investors is transformed into collective behavior and market sentiment on the basis of which stable advantages of investors are formed: macroeconomic status, market maturity, political and social structure, values, quality of life, human capital. The characteristics of the investor behavior model that take into account both sustainable priorities and the irrational component are presented, and a detailed classification of investor behavior models is proposed. The Asian, Islamic, Latin American and post-Soviet models are singled out and characterized, the similarities and differences between them are highlighted. It is proposed to understand the model of investor behavior as sustainable benefits (risk, expected levels of return, liquidity, propensity to invest in certain financial instruments) and the consequent consistent actions of market players, as well as a set of factors that explain it, including expectations moment of time. It is substantiated that the behavior of investors is also explained by the irrational component (anomalies, stress response, etc.). It is proved that emerging markets are more volatile than developed ones, are in a state of instability and a significant manifestation of the irrational component, which must be taken into account when assessing their behavioral characteristics. The Asian, Islamic, Latin American and post-Soviet models are singled out and characterized, the similarities and differences between them are highlighted. It is established that the Latin American and post-Soviet models of investor behavior are similar in the following characteristics: low risk tolerance, high income orientation, prominent role of the banking system, concentration of property, behavioral anomalies, manipulation and corruption, high collectivism.

The Association between Subjective and Objective Financial Knowledge: Path Analysis to Investor Behavior by Age

Financial literacy affects stock market participation, as well as individuals’ age, gender, income, and education level. However, measuring financial literacy is more appropriate to identify individuals with strong knowledge of finance rather than average individuals with general knowledge. This could be problematic to identify general participation of the stock market and investment as more individuals are now participating without having to have such knowledge. This study explored how individuals’ subjective financial skills and well-being affect investment participation by age. Overall, males are likely to participate more in both retirement and non-retirement investment. In between the boomer generation and younger group, the younger generation who reported participating in a non-retirement investment, such as stock market were having a higher score on subjective financial well-being (STDYX = .052, 95% CI [.07, .08]; p < .05). Importantly, among the older group, subjective financial skill score becomes a predictor of participating stock market (STDYX = .09, 95% CI [.01, .17]; p < .05). As the result suggest, while younger participants focus more on financial well-being, such as having security on finances, when they are participating in a non-retirement investment, whereas older adults are likely to invest based on their beliefs on financial skills regardless of secured finances. A retirement plan has shifted toward less on savings and more on investing. Older adults are now interested more in participating in investments, such as the stock market than the young population, and the proper preparedness for those older adults in participating in the investment is needed.

EFFECT OF FINANCIAL LITERACY AND RISK ATTITUDE ON INVESTOR BEHAVIOR

This research aims to examine the related effects of financial literacy and risk attitudes towards investor behavior in the Indonesian capital market with the motive of saving as a mediating variable. This study uses a quantitative approach and partial least squares- structural equation modelling (PLS-SEM) to test hypotheses. The research data was obtained from 110 questionnaires distributed to capital market investors in Indonesia using the purposive sampling method. The results of this study indicate that financial literacy, risk attitude and saving motives have positive and significant effects on investor behavior in the Indonesian capital market. The influence of financial literacy and risk attitude also has a positive and significant effect on saving motives. However, the motive for saving money cannot mediate the effect of financial literacy and risk attitude on investor behavior. Theoretically, the implications of the results of this study are the level of financial literacy, risk attitude, and saving motives can directly influence investor behavior. The higher the financial literacy, the better the attitude in facing investment risk and the greater the motive for saving, the better the investor's behavior in making investment decisions. Whereas in practical terms, this implication is used as input for investors to further increase financial literacy, pay attention to the level of risk of selected investments, and enlarge the motives for saving so that the purpose of investing can be achieved well.

Firm supervisory board during pandemic

This study investigates public trust in the firm supervisory board, an essential indicator of good corporate governance in some literature. By using 474 non-financial entities in Indonesia during the COVID-19 pandemic and considering a number of firm fundamental factors, this study documents evidence of irrational investor behavior during the pandemic. Investors seem to panic and respond negatively to financial information. However, the public still believes in the independent supervisory board's contribution to the firm. This effect is getting stronger with the presence of an increasingly dominant supervisory board. These results are still robust during repeated testing. This empirical evidence is useful to regulators in emerging markets, industry, and academia.

Relationship between Herd Behavior and Chinese Stock Market Fluctuations during a Bullish Period Based on Complex Networks

Herding has a great impact on stock market fluctuations, and it is possible for researchers to analyze the herding effect due to the recent popularity of mobile Internet and the development of big data analysis technology. In this paper, we propose both investor-based and stock-based sentiment propagation networks of Chinese stock markets based on the simple pairwise correlation of posts’ sentiment indexes. And the relationship between the herding effect and Chinese stock market fluctuations is studied by comparing the network indicators with the Shanghai Securities Composite Index (SSCI) and the Causeway International Value Index (CIVIX). Through the experimental results, we find that the indicators are indeed ahead of the Chinese stock market. This study is the first attempt to model stock market sentiment by using a complex network, and it proves that investor behavior has a great effect on the stock market.

Option Valuation in the Presence of Market Sentiment: Application to Listed Companies in the CAC40 Index

Asset pricing theory based on rationality was widely criticized in literature. Indeed, the non-inclusion of investor behavior and assuming market efficiency led to the weaknesses of option valuation through the traditional Black and Scholes model (1973). In this paper we examine the effect of the inclusion of investor behavior in the option pricing model. We test whether the Black and Scholes model in presence of sentiment behavior can lead to an improvement of the calculation of call price. Using daily data of 30 listed companies of France in the CAC40 index for the period June 18, 2009 to May 09, 2018, results showed that the introduction of sentiment effect in the Black and Scholes model provides better estimates of the call price than that obtained by the standard Black-Scholes model. In fact, we obtain an average gain of about 44% in terms of relative change in mean square error between both methods.

Investor Behavior In Islamic Capital Markets: Study On Muslim Students

ABSTRACTThe purpose of this research is to know the behavior of investors towards Islamic capital market. The research was conducted on several Muslim student respondents from several universities in Yogyakarta who invested in sharia capital markets. The type of data in this study is primary data obtained through in-depth interviews. The results showed that there are two investor characters among students namely risk seeker or risk taker and risk-averse. Respondents realized that investing in the capital market has potential benefits as well as potential risks. For investors, risk seeker has high confidence and optimism when making investment decisions, while risk-averse tends to be cautious and a lot of consideration when making investment decisions. In general, sharia capital market investors who are the majority of students have a good belief in the wisdom of stocks traded in sharia capital markets. They believe in the fatwa of scholars, the role of the DSN, and the role of capital market supervisory bodies. They are mostly also looking for information about sharia capital market sharia through books, capital market socialization, IDX web. In terms of transaction mechanisms in the sharia capital market only a small part still doubts its validity due to issue factors, lack of understanding of islamic capital market the correctness factor of the company's financial performance, and the ups and downs of the share price.Keywords: investor behavior, investment decisions, sharia capital market ABSTRAK Tujuan penelitian ini adalah untuk mengetahui perilaku investor terhadap pasar modal syariah. Penelitian dilakukan terhadap sejumlah responden mahasiswa muslim dari beberapa perguruan tinggi di Yogyakarta yang melakukan investasi di pasar modal syariah. Jenis data dalam penelitian ini adalah data primer yang diperoleh melalui wawancara Hasil penelitian menunjukkan bahwa terdapat dua karakter investor di kalangan mahasiswa yakni risk seeker atau risk taker dan risk averse. Responden menyadari bahwa investasi di pasar modal memiliki potensi untung dan juga potensi resiko. Bagi investor risk seeker memiliki rasa percaya diri yang tinggi dan optimis ketika mengambil keputusan investasi, sedangkan risk averse cenderung berhati-hati dan banyak pertimbangan ketika mengambil keputusan investasi. Secara umum investor pasar modal syariah yang merupakan mahasiswa mayoritas memiliki keyakinan yang baik mengenai kesyariahan saham-saham yang diperdagangkan di pasar modal syariah. Mereka percaya terhadap fatwa ulama, peranan DSN dan peranan badan pengawas pasar modal. Mereka sebagian besar juga mencari informasi tentang kesyariahan pasar modal syariah melalui buku, sosialisasi pasar modal, web IDX. Pada aspek mekanisme transaski pada pasar modal syariah hanya sebagian kecil yang masih meragukan kesyariahannya, karena faktor isu dan kurangnya pemahaman, faktor adanya unsur ketidakpastian naik turunnya harga saham.Kata kunci : perilaku investor, keputusan investasi, pasar modal syariah

Sell Winners and Buy Losers? The Impact of Familiarity on Individual Investors’ Decision-Making: Experimental Results

Purpose: This article analyzes the influence of familiarity bias on respondents’ decision-making process, using results from online experiments. Design/methodology/approach: A total of 255 research participants from post-Soviet countries completed 510 online tests that were presented in the form of investment games. In the games, the respondents were allowed to sell, buy, or hold two types of asset portfolios: familiar and unfamiliar assets. Findings: Holders of portfolios with familiar assets were 1.34 times more likely to be persistent in selling winners and holding losers and 1.10 times more likely to be persistent in buying fallen assets than holders of unfamiliar portfolios. Moreover, respondents who managed familiar assets tended to generate terminal result distributions with a kurtosis that was 27.8% higher than the distributions of those managing unfamiliar assets. Originality: Several academic studies have examined familiarity bias, the disposition effect, the positive feedback trading of individual investors, and risk-seeking trading; however, they investigated these topics separately. In the current study, we therefore created an online experiment to identify new aspects of investor behavior.