Herding in the cryptocurrency market: CSSD and CSAD approaches

【Author】 Vidal-Tomas, David; Ibanez, Ana M.; Farinos, Jose E.

【Source】FINANCE RESEARCH LETTERS

【影响因子】9.848

【Abstract】We analyse the existence of herding in the cryptocurrency market through the cross-sectional standard (absolute) deviation of returns. Our results show that extreme dispersion of returns is explained by rational asset pricing models although it is possible to observe herding during down markets, which highlights the inefficiency and risk of cryptocurrencies. We also observe that the smallest digital currencies are herding with the largest ones, thus traders base their decisions on the performance of the main cryptocurrencies. However, the herding phenomenon cannot be solely attributed to Bitcoin, since the rest of the market is not herding with the main cryptocurrency.

【Keywords】Herding; Market efficiency; Cryptocurrency; Bitcoin

【发表时间】2019 SEP

【收录时间】2022-01-02

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