Uncertainty and herding behavior: evidence from cryptocurrencies

【Author】 Coskun, Esra Alp; Lau, Chi Keung Marco; Kahyaoglu, Hakan

【Source】RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE

【影响因子】6.143

【Abstract】The aim of this study is to examine the existence of herding behavior in the cryptocurrency market under uncertainty by employing cross-sectional absolute deviation (CSAD) of returns, ordinary least squares (OLS), generalized autoregressive conditional heteroscedasticity (GARCH) methods and Time-Varying Markov-Switching (TV-MS) model for both overall sample and sub-periods which was determined based on the results of Quandt-Andrews and Bai-Perron breakpoint tests. We utilized the daily data of the 14 leading cryptocurrencies in terms of closing price, market cap and transaction volume. We also used dummy variables to analyze whether or not an asymmetric behavior occurred during the "up and down" market periods. Our results for the overall sample refer to an anti-herding behavior in each model. However, the results of the TVMS model for the 3rd sub-period (2/28/2017-1/16/2018) imply the existence of a herding behavior in the low volatility regime, an anti-herding behavior occurred during the high volatility regime and the effect of uncertainty was significant on the anti-herding behavior. Finally, our results suggest that there was no significant asymmetric behavior during the "up and down" market periods.

【Keywords】Herding; Uncertainty; Cryptocurrency market; Behavioral finance; Time varying markov-switching

【发表时间】2020 DEC

【收录时间】2022-01-02

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