Investors' mood and herd investing: A quantile-on-quantile regression explanation from crypto market

【Author】 Rubbaniy, Ghulame; Tee, Kienpin; Iren, Perihan; Abdennadher, Sonia

【Source】FINANCE RESEARCH LETTERS

【影响因子】9.848

【Abstract】This study uses daily data of 382 cryptocurrencies and a quantile-on-quantile regression (QQR) framework developed by Sim and Zhou (2015), to establish a link between herding behavior and investors' mood and provide support for mood-as-information hypothesis in the crypto market. The results of QQR analysis reveal that the effect of investors' mood on herd investing behavior is asymmetric and regime specific with a (weaker)higher (anti)herding tendency towards sad (happy) quantiles of investors' mood. The results provide support to the portfolio managers by documenting that investors' mood can be used as a signal to monitor the possible speculative activities in crypto market.

【Keywords】Cryptocurrencies; Herding behavior; Happiness index; Investors' mood; Quantile-on-quantile regression

【发表时间】2022 JUN

【收录时间】2022-07-17

【文献类型】实验仿真

【主题类别】

区块链治理-市场治理-市场分析