Article2018

HERDING IN CRYPTO-CURRENCY MARKETS

43 citations0/0 files storedAnnals of Financial Economics

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Financial Markets and Investment Strategies Financial Risk and Volatility Modeling FinTech, Crowdfunding, Digital Finance

Abstract

We test for herding in crypto-currency markets using the CSAD method of Chang et al. (2000). Daily returns of 6 major crypto-currencies and market index CCI30 for the period 07-08-2015 t0 18-01-2018 is used. Possibility of herding under up and down market and high and low volatility is tested. Herding is found under up and down market activity, indicating over-enthusiasm and over-reaction. Market volatility is found not to have any significant impact on herding behavior. Herding is found to be dependent upon the market activity rather than market volatility.

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References

1992A Simple Model of Herd Behavior 1988Herd Behavior and Investment 1992The impact of institutional trading on stock prices 1999Mutual Fund Herding and the Impact on Stock Prices 2015Bitcoin, gold and the dollar – A GARCH volatility analysis 2015Speculative bubbles in Bitcoin markets? An empirical investigation into the fundamental value of Bitcoin 2016The Inefficiency of Bitcoin 2000An examination of herd behavior in equity markets: An international perspective

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