Herding behavior in the cryptocurrency market during COVID-19 pandemic: The role of media coverage

【Author】 Youssef, Mouna; Waked, Sami Sobhi

【Source】NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE

【影响因子】3.136

【Abstract】This paper examines herding behavior in the cryptocurrency market during the COVID-19 pandemic using daily data and based on static and regime-switching models. Furthermore, we investigate whether herding behavior is affected by the coronavirus media coverage. Based on a sample of the top-43 cryptocurrencies in terms of market capitalization between 2013 and 2020, we find significant evidence of herding for the entire sample period only during high volatility state. Moreover, during the COVID-19 crisis, results suggest that investors in the cryptocurrency market follow the consensus. Finally, the impact of coronavirus media coverage is significant on herding among investors, explaining such behavior in the cryptocurrency market during the COVID-19 crisis. Our findings explain herding determinants that may help investors avoid such comportment, mainly during the crisis.

【Keywords】Herding behaviour; Cryptocurrencies; COVID-19; Media coverage; Regime -switching

【发表时间】2022 NOV

【收录时间】2022-08-28

【文献类型】实证数据

【主题类别】

区块链治理-市场治理-市场分析