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Intraday herding and attention around the clock

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  • Scharnowski, Stefan
  • Shi, Yanghua

Abstract

This paper analyzes the relationship between investor herding and attention in the decentralized cryptocurrency market with its continuous, around the clock trading and large share of retail investors. Herding behavior is stronger when market returns are positive but is negatively related to both the level and cross-sectional dispersion of investor attention. Moreover, there are pronounced intraday variations: Herding exhibits similar patterns as attention and blockchain activity and is strongest during the overlap of hours when traders in major economic centers are likely awake.

Suggested Citation

  • Scharnowski, Stefan & Shi, Yanghua, 2024. "Intraday herding and attention around the clock," Journal of Behavioral and Experimental Finance, Elsevier, vol. 41(C).
    • Handle: RePEc:eee:beexfi:v:41:y:2024:i:c:s2214635024000091
    DOI: 10.1016/j.jbef.2024.100894
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    More about this item

    Keywords

    Herding; Investor attention; Attention dispersion; Cryptocurrency; Bitcoin;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G40 - Financial Economics - - Behavioral Finance - - - General

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