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Financial Innovation

Table 10 Robustness analysis

From: Speculative bubbles and herding in cryptocurrencies

 

Dependent variable: bubble

 

(1)

(2)

(3)

(4)

(5)

(6)

(7)

Lagged returnt-1

0.014 (0.113)

0.018c (0.050)

0.015 (0.149)

0.018c (0.064)

0.021a (0.004)

0.033a (0.000)

0.030a (0.001)

Volumet−1

0.142a (0.000)

0.097b (0.024)

  

0.154a (0.000)

  

Amihudt−1

  

−0.013a (0.000)

−0.009a (0.000)

 

−0.014a (0.000)

−0.009a (0.000)

Google Trendt−1

0.042a (0.008)

 

0.044c (0.052)

 

0.051a (0.000)

0.064a (0.005)

 

Overlapping Google Trendt−1

 

0.035a (0.004)

 

0.047a (0.001)

  

0.057a (0.000)

Market returnt−1

0.008 (0.386)

0.004 (0.686)

0.013 (0.224)

0.005 (0.620)

0.002 (0.765)

0.001 (0.981)

−0.005 (0.497)

Volatilityt−1

0.022b (0.049)

0.024b (0.023)

0.045a (0.003)

0.032a (0.006)

   

Return squared volatilityt−1

    

0.010b (0.012)

0.036a (0.000)

0.023a (0.000)

Observation

4466

4466

4466

4466

4466

4466

4466

R-squared

0.228

0.247

0.201

0.237

0.212

0.183

0.227

  1. The dependent variable is Bubble, which is equal to 1 during the bubble period and 0 otherwise. The lagged return is the 1-day lag of the cryptocurrency return. Volume is a 1-day lag in the trading volume. Google Trends is a 1-day lag of Google Trends search volume. Market return is the 1-day lag CCI index return and volatility is the 1-day lag of volatility. Amihud is the 1-day lag of the 30 days average of the price changes per dollar of the volume unit of trade. Overlapping Google Trends is the one-day lag of the Google Trends search volume, calculated using 115 overlapping data periods. Return-squared volatility is the 1-day lag of the 30-days rolling window standard deviation of the daily return. All variables were standardized. We used random effects and robust standard errors clustered by cryptocurrency in the panel estimation
  2. R-squared refers to the McFadden pseudo R-squared value
  3. a, b, and c represent the significance at the 1, 5, and 10 percent levels, respectively
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