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Testing for herding in the cryptocurrency market

Author

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  • Ballis, Antonis
  • Drakos, Konstantinos

Abstract

The study investigates whether herding behavior is present in the rapidly emerging cryptocurrency market. By analyzing daily data from major cryptocurrencies during the period August 2015 to December 2018, we find evidence that investors in the cryptocurrency market act irrationally and imitate other's decisions with no reference to their own beliefs. Furthermore, our empirical results provide evidence that the up-events market dispersion follows market movements at a faster pace compared to the down events. Thus, cryptocurrencies show a behavior where they tend to move in tandem, which does not necessarily reflect their fundamentals.

Suggested Citation

  • Ballis, Antonis & Drakos, Konstantinos, 2020. "Testing for herding in the cryptocurrency market," Finance Research Letters, Elsevier, vol. 33(C).
    • Handle: RePEc:eee:finlet:v:33:y:2020:i:c:s1544612319301643
    DOI: 10.1016/j.frl.2019.06.008
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    Behavioral finance; Herd behavior; Cryptocurrencies; Bitcoin;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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