What Drives Herding Behavior in the Cryptocurrency Market?

【Author】 Youssef, Mouna

【Source】JOURNAL OF BEHAVIORAL FINANCE

【影响因子】1.798

【Abstract】This paper uses the cross-sectional absolute deviation (CSAD) in static and time-varying versions to examine herding in the cryptocurrency market from April 2013 to November 2019. Results from the static model confirm the evidence of an anti-herding behavior over the considered period. However, the time-varying analysis suggests the presence of herding behavior around the end of 2013 and persists until the end of the sample period. Furthermore, by examining the factors relating to market microstructure and general economic conditions that can drive herding, we find that the level of herding in the cryptocurrency market rises as volatility, the S&P500, and the dollar index increase. However, the rise in the trading volume, gold price, and the economic policy uncertainty index (EPU) reduce the herding in the cryptocurrency market.

【Keywords】Time-varying herding; Cryptocurrencies; S& P500; Economic policy uncertainty; Volatility

【发表时间】2020

【收录时间】2022-01-02

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