The test of investors' behavioral bias through the price discovery process in cryptoasset exchange: Transactional-Level Evidence from Thailand

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The study provides insights into price discovery processes and behavioral biases in cryptocurrency markets, which could be valuable for developing trading strategies and risk management approaches in these markets.

While the VECM methodology is well-established, implementing it effectively requires significant econometric expertise and access to high-quality, high-frequency market data.

The study uses proprietary data from a Thai cryptocurrency exchange, which may limit full reproducibility. However, the methodology is well-described and could be applied to similar datasets.