Herding intensity and volatility in cryptocurrency markets during the COVID-19

【Author】 Mandaci, Pinar Evrim; Cagli, Efe Caglar

【Source】FINANCE RESEARCH LETTERS

【影响因子】9.848

【Abstract】This paper investigates whether herding is present before and during the COVID-19 pandemic, analyzing intraday data of Bitcoin and eight altcoins. The herding intensity measure of Patterson and Sharma (2006) is calculated for the first time for cryptocurrency markets. Furthermore, we employed a novel Granger causality methodology with a Fourier approximation to determine the relationship between herding and volatility, considering the structural breaks. Our results indicate a significant herding behavior, concentrating during the COVID-19 outbreak. The causality test results show that herding has a significant effect on market volatility. Our results do not support the efficient market hypothesis.

【Keywords】Herding; Bitcoin; Cryptocurrencies; Behavioral finance; COVID-19

【发表时间】2022 MAY

【收录时间】2022-07-10

【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