The effects of a “black swan” event (COVID-19) on herding behavior in cryptocurrency markets

By L. Yarovaya, R. Matkovskyy, A. Jalan. Journal of international financial markets, institutions, and money, 2021

260 citations recorded by the source corpus.

This paper analyses herding in cryptocurrency markets in the time of the COVID-19 pandemic. We employ a combination of quantitative methods to hourly prices of the four most traded cryptocurrency markets - USD, EUR, JPY and KRW - for the period from 1st January 2019 to 13th March 2020. While there are several strong theoretical reasons to observe the “black swan” effect on cryptocurrency herding, our results suggest that COVID-19 does not amplify herding in cryptocurrency markets. In all markets studied, herding remains contingent on up or down markets days, but does not get stronger during the COVID-19. These results are important for cryptocurrency investors and regulators to enhance their understanding of cryptocurrency markets and the financial effects of the COVID-19 pandemic.

Subfields: Economics and Econometrics, Finance, Information Systems

View Paper: https://www.semanticscholar.org/paper/0da4c3bc81aed8d85c7dcdf8e436a115e6985896

Citations in the corpus

• Rethinking financial contagion: Information transmission mechanism during the COVID-19 pandemic (2020, unknown): “Alternatively, Yousaf and Yarovaya (2021) specify a longer COVID-19 period from January 2020 to July 2021, hence they further adjust the length of pre-COVID period and utilise data from May 2018.”
• Financial contagion during COVID–19 crisis (2020, unknown): “Yarovaya et al. (2020) do not detect any herding behavior in cryptocurrency markets during the COVID-19 pandemic.”