Paper title: Decomposing cryptocurrencies behavioral anomalies
Authors: Syed Jawad Hussain Shahzad - Montpellier Business School, Elie Bouri - School of Business, Lebanese American University, Larisa Yarovaya - Centre for Digital Finance, University of Southampton, Brian Lucey - Trinity College Dublin

Abstract:

This paper decomposes the mutual influence of behavioral anomalies in cryptocurrencies pricing. The reversal, recency bias, salience theory, lottery, and anchoring anomalies have a profound economic effect on cryptocurrency returns, which is not subsumed by cryptocurrency specific characteristics. The multivariate anomaly decomposition indicates that salience theory and lottery preferences are omnipresent, whereas recency bias is a standalone phenomenon. The significant interaction and explanation among behavioral anomalies intensify under higher cryptocurrency policy uncertainty and equity market volatility. The commonality among the behavioral anomalies reflects the speculative nature of cryptocurrencies. Thus, caution is necessary when considering behavioral anomalies as pricing factors.

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