本研究探討比特幣崩盤風險與投資人意見分歧之關係，利用Hong and Stein (1999)之投資人異質性 (heterogeneity) 模型解釋比特幣報酬率分配不對稱之現象。研究結果顯示，當投資人意見分歧程度愈高，比特幣市場發生崩盤 (crash) 的可能性愈大。本研究依循Chen, Hong and Stein (2001)，定義崩盤風險為每日的日內報酬率負偏態程度，所使用的兩種測度分別為負偏態報酬係數 (NCSKEW) 與報酬上下波動比率 (DUVOL)，並根據Huang et al. (2021)之方法，利用標準化未解釋交易量 (D_SUV) 衡量投資人意見分歧之程度。 此外，本研究發現當比特幣該日的崩盤風險愈大，隔日的投資人意見分歧程度愈低，因此，比特幣崩盤風險會影響隔日的投資人意見分歧程度，但不會在同期造成影響，故可推論兩者之間並不存在同期的雙向因果關係。最後，本研究發現COVID-19疫情期間、疫情之前、疫情之後三個子樣本期間中，比特幣崩盤風險與投資人意見分歧皆存在正向關聯性。 ;This study investigates the relationship between Bitcoin crash risk and investor disagreement. Utilizing the investor heterogeneity model by Hong and Stein (1999) to explain the asymmetry in the distribution of Bitcoin returns, we find that a higher level of investor disagreement increases the likelihood of a crash in the Bitcoin market. We define the crash risk as the degree of negative skewness in daily intraday returns, following Chen, Hong, and Stein (2001). Two measures of crash risk used in the analysis are the negative skewness coefficient of returns (NCSKEW) and the down-to-up volatility ratio (DUVOL). Following Huang et al. (2021), we use standardized unexplained trading volume (D_SUV) to measure the degree of investor disagreement.
Furthermore, the study finds that the higher Bitcoin crash risk on a given day leads to a lower level of investor disagreement on the following day. Hence, Bitcoin crash risk relates to next day′s level of investor disagreement, but there does not exist a contemporaneous relationship between crash risk and investor disagreement, suggesting no bi-directional contemporaneous. Finally, by dividing the sample into pre-, post-, and during-COVID 19 pandemic periods, we find that the positive relation between Bitcoin crash risk and investor disagreement holds in these three sub-sample periods.
