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2020, vol. 17, br. 1, str. 20-36
Ponašanje gomile na tržištu kriptovalute - stvarno vs lažno gomilanje
Wuhan University of Technology, School of Economic, Hubei, China

e-adresachamil@whut.edu.cn
Ključne reči: ponašanje gomile; kriptovaluta; fundamentalne informacije; CASD; portfolio diversfikacija; pseudo-efikasnost; intrinzična vrednost
Sažetak
Ovaj rad ima za cilj da istraži da li gomilanje investitora, na tržištu kriptovalute, dovodi do korelacije u prinosu kriptovalute - uz upotrebu metodologije Čenga i dr, Galariotisa i dr, a na primeru uzorka podataka u vremenskom okviru 30.03.2015-24.05.2019. Početni rezultati regresije ukazuju na to da apsolutna, standardna devijacija širokog spektra u prinosu može biti objašnjena samo indeksom prinosa GSCI ulja i zlata, kao i da ne postoji spona između apsolutne standardne devijacije širokog spektra i drugih varijabli regresije, poput prinosa u vezi sa Cci30, premije za tržišni rizik SAD-a, kao i prinosa koji se odnosi na kurs američkog dolara ili Evra. Rezultati regresije gomilanja - u standardnim uslovima tržišta, pokazuju da postoji izražena sklonost gomilanja na ne-fundamentalnim informacijama, što objašnjava apsolutnu standardnu devijaciju prinosa širokog sprektra. Kao takvi, prinosi kriptovalute ne mogu da se predvide, a na osnovu fundamentalnih, stvarnih informacija, relevantnih za ekonomiju (npr. značajne objave na makroekonomskom planu). Gomilanje zasnovano na informacijama koje nisu fundamentalne učestalije je, kako je primećeno, tokom perioda rasta na tržištu, dok ovakve vrste gomilanja nema u drugačijim okolnostima na tržištu. Premda teorija sugeriše da gomilanje zasnovano na infomacijama koje nisu od fundamentalne vrednosti dovodi do efikasnijih ishoda, prethodno izloženo ne govori u prilog diversifikacije tradicionalnih sredstava kriptovalutom, na osnovu slabe korelacije. Budući da kriptovaluti nedostaje intrinzična vrednost, takva razmena dovodi do nastanka pseudo-efikasne platforme za trgovinu spekulativnih investitora. Na kraju rada, navode se implikacije u vezi sa budućim istraživanjem.
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O članku

jezik rada: srpski
vrsta rada: izvorni naučni članak
DOI: 10.5937/EJAE17-22053
objavljen u SCIndeksu: 15.04.2020.
metod recenzije: dvostruko anoniman
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