COVID-19, Lockdowns and herding towards a cryptocurrency market-specific implied volatility index

【Author】 Rubbaniy, Ghulame; Polyzos, Stathis; Rizvi, Syed Kumail Abbas; Tessema, Abiot

【Source】ECONOMICS LETTERS

【影响因子】1.469

【Abstract】This study investigates herd effects in 101 cryptocurrencies during the period from January 2015 to June 2020. Our results confirm the existence of herding behavior in the cryptocurrency market for the entire sample and show that herding asymmetry is present during both bullish and bearish regimes. The asymmetry in correlated trading is particularly visible in extreme return percentile regimes (1% and 5%) of cryptocurrency market Although our study finds no evidence of correlated trading when cryptocurrency specific fear prevails in the market, crypto investors seem to mimic the trading decisions of others during the COVID-19 pandemic, outside the lockdown periods. (C) 2021 Elsevier B.V. All rights reserved.

【Keywords】Covid-19; Herding behavior; Cryptocurrencies; VCRIX; Market fear

【发表时间】2021 OCT

【收录时间】2022-01-01

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