Herding behaviour in cryptocurrencies

By Elie Bouri, Rangan Gupta, David Roubaud. Finance Research Letters, 2019

446 citations recorded by the source corpus.

This study examines the presence of herding behaviour in the cryptocurrency market. The latter is the outcome of mass collaboration and imitation. Results from the static model suggest no significant herding. However, the presence of structural breaks and nonlinearities in the data series suggests applying a static model is not appropriate. Accordingly, we conduct a rolling-window analysis, and those results point to significant herding behaviour, which varies over time. Using a logistic regression, we find that herding tends to occur as uncertainty increases. Our findings induce useful insights related to portfolio and risk management, trading strategies, and market efficiency.

Subfields: Economics and Econometrics, Finance, Information Systems

View Paper: https://www.semanticscholar.org/paper/c13adb42f983a1c9553cd0ea0826f896936faa4f

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. M. Naeem
2. Anne de Bruin
3. Md Iftekhar Hasan Chowdhury
4. Faruk Balli

In Finance

1. Anne de Bruin
2. M. Naeem
3. Md Iftekhar Hasan Chowdhury
4. Faruk Balli

In Information Systems

1. M. Naeem
2. Faruk Balli

Citations in the corpus

• A systematic review of the bubble dynamics of cryptocurrency prices (2020, unknown): “Bouri et al. [2019] use daily data about Bitcoin, Ripple, Ethereum, Litecoin, Nem, Dash and Stellar that span the period from August 7, 2015 until December 31, 2017 in order to study co-explosivity in their markets.”
• Connectedness of cryptocurrencies and prevailing uncertainties (2020, background): “3In this regard, Bouri, Gupta, and Roubaud (2019a) report that herding tends to occur in the crypto market as economic uncertainty increases. connectedness.”