Herding in different states and terms: evidence from the cryptocurrency market

【Author】 Ali, Syed Riaz Mahmood

【Source】JOURNAL OF ASSET MANAGEMENT

【影响因子】0.000

【Abstract】In this paper, we provide an in-depth analysis of the herding nature in the cryptocurrency market. We use the first 200 crypto coins data ranked based on market capitalization on January 1, 2020, to show the analysis. We illustrate the crypto investors' herding nature and intensity in different terms (by using daily, weekly, and monthly frequency data) and various states (high vs. low EPU states and high vs. low VIX states). We also demonstrate the magnitude of the herding effect on the next day's market returns in the cryptocurrency market.

【Keywords】Cryptocurrency; Herding; Behavioral finance

【发表时间】

【收录时间】2022-05-25

【文献类型】实证性文章

【主题类别】

区块链治理-市场治理-数字货币