An analysis of volatility and herd behavior among investors in the S&P500 stock market index, Bitcoin, and gold markets | ||
| Journal of Mathematics and Modeling in Finance | ||
| دوره 3، شماره 2، اسفند 2023، صفحه 77-92 اصل مقاله (185.36 K) | ||
| نوع مقاله: Research Article | ||
| شناسه دیجیتال (DOI): 10.22054/jmmf.2024.75516.1103 | ||
| نویسندگان | ||
| Mohammad Qezelbash1؛ Saeid Tajdini2؛ Farzad Jafari3؛ Majid Lotfi Ghahroud* 4؛ Mohammad Farajnezhad5 | ||
| 1Department of Mangement and Accounting, Allameh Tabataba’i University, Tehran, Iran | ||
| 2Faculty of Economics, University of Tehran, Tehran, Iran | ||
| 3Telfer School of Management, University of Ottawa, Ottawa, Canada | ||
| 4Department of Technology and Society, The State University of New York, Incheon, Republic of Korea | ||
| 5Azman Hashim International Business School, Universiti Teknologi Malaysia, Johor, Malaysia | ||
| چکیده | ||
| In recent years, cryptocurrency has attracted more attention and is a new option in the economy and the financial sector. The purpose of this study is to the volatility and “herd behavior” of the cryptocurrency, gold, and stock markets in the US. This research is aimed at investor “herd behavior” and how it correlates with the volatility of three assets: the Standard & Poor's 500 indexes, Bitcoin, and gold. Also, A new formula by applying the conditional standard deviation (risk), maximum return, minimum return, and average return to quantify the herding bias is designed in this research. In this study, the generalized autoregressive conditional heteroscedasticity model (GARCH) and the autoregressive moving average model (ARMA) were both employed. Research results show that Bitcoin is 3.3 times as volatile as the S&P 500 and 4.6 times as volatile as gold. The results of this novel equation also show that the herding bias of Bitcoin is more than 26 times higher than the global average and 10 times higher than the S&P 500. Also, it’s important to consider the energy consumption and sustainability of investments when evaluating their long-term viability and risk. In some cases, investments in companies with strong sustainability practices and low carbon footprints may be seen as lower risk. Since Bitcoin relies on a network of computers to validate transactions based on proof of work and it is an energy consumption consensus mechanism, investment in Bitcoin may be seen as a higher risk. | ||
| کلیدواژهها | ||
| Herd mentality bias؛ Volatility؛ Bitcoin؛ S& P500؛ Gold | ||
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