Herding in the cryptocurrency market: CSSD and CSAD approaches
By D. Vidal-Tomás, A. Ibáñez, Josefina Farinos. Finance Research Letters, 2019
213 citations recorded by the source corpus.
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.
Subfields: Economics and Econometrics, Finance, Information Systems
View Paper: https://www.semanticscholar.org/paper/70927b9d6f3e4fd45409e4f75d7cc6bc04f7a73c
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Citations in the corpus
- The effects of a “black swan” event (COVID-19) on herding behavior in cryptocurrency markets (2021, unknown): “These findings are consistent with previous literature that suggests asymmetry in herding during up and down-market states (e.g. Phillipas et al., 2020; Gurdgiev and O’Loughlin, 2020; Kaiser and Stöckl, 2019; Kallinterakis andWang, 2019; Vidal-Tomás et al., 2019).”
- Cryptocurrency trading: a comprehensive survey (2020, background): “[213] analysed the existence of herding in the cryptocurrency market.”