We studied the specific properties of the cryptocurrency market. Guided by the concept of implied volatility, we investigated the asymmetric reaction of the market to news. Based on the concept of realized volatility, we verified the hypothesis of herding behavior in the market. To test the properties of the market, we used a combination of methods, starting from the analysis of statistics of search queries, interpreted as proxies of information demand from professional market participants and the “wide crowd”, and ending with advanced Markov-Switching GARCH models and heterogeneous autoregressive models of realized volatility (HAR-RV-J-models). As a result, we found various types of asymmetric reactions of the cryptocurrency market to news related to both the general direction of its dynamics (growth or decrease) and the amplitude of return fluctuations (high or low volatility). During the upward price rally and overheating of the market, investors deliberately avoided the bad news; thereby the asymmetry in the cryptocurrency market was inverse (to the adopted leverage effect). On the contrary, during the downward price rally, market participants exhibited an overreaction to bad news. In addition, the asymmetric reaction to the news observed during the period of low market volatility actually disappeared when the amplitude of cryptocurrency return volatility increased. The behavior of short-term investors was also varied in the study period. While during the growth of the market, small speculators were more likely to follow their own trading strategies, during the hype they borrowed the trading practices of the largest players. We also revealed the effect of training among small investors: over time, they became less prone to provocations from large players, which did not allow the 2019 rally to surpass its counterpart in 2017 in terms of both return oscillations and duration.

中文翻译：

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加密货币市场：对新闻和畜群本能的过度反应

我们研究了加密货币市场的特定属性。在隐含波动率的概念指导下，我们研究了市场对新闻的不对称反应。基于实际波动的概念，我们验证了市场中羊群行为的假设。为了测试市场的属性，我们使用了多种方法，从分析搜索查询的统计数据开始，将其解释为专业市场参与者和“广泛人群”的信息需求的代理，最后以先进的马尔可夫转换GARCH结束模型和已实现波动率的异质自回归模型（HAR-RV-J模型）。结果是，我们发现加密货币市场对新闻的各种类型的不对称反应，既涉及其动态的总体方向（增长或下降），也涉及收益波动幅度（高或低波动性）。在价格上涨和市场过热期间，投资者故意避免了这一坏消息。因此，加密货币市场的不对称性是相反的（采用的杠杆效应）。相反，在价格下跌期间，市场参与者对坏消息表现出过度反应。此外，当加密货币收益波动率的幅度增加时，对在市场低波动时期观察到的新闻的不对称反应实际上消失了。在研究期间，短期投资者的行为也有所不同。在市场增长期间 小型投机者更可能遵循自己的交易策略，在炒作中他们借鉴了最大参与者的交易做法。我们还揭示了培训对小投资者的影响：随着时间的推移，他们变得不那么容易受到大玩家的挑衅，这使得2019年的反弹在回报波动和持续时间方面都无法超过2017年的反弹。