A1 Refereed original research article in a scientific journal
Herding in different states and terms: evidence from the cryptocurrency market
Authors: Ali Syed Riaz Mahmood
Publisher: Palgrave Macmillan
Publication year: 2022
Journal: Journal of Asset Management
eISSN: 1479-179X
DOI: https://doi.org/10.1057/s41260-022-00265-1
Web address : https://doi.org/10.1057/s41260-022-00265-1
Self-archived copy’s web address: https://research.utu.fi/converis/portal/detail/Publication/175181717
In this paper, we provide an in-depth analysis of the herding nature in the cryptocurrency market. We use the first 200 crypto coins data ranked based on market capitalization on January 1, 2020, to show the analysis. We illustrate the crypto investors' herding nature and intensity in different terms (by using daily, weekly, and monthly frequency data) and various states (high vs. low EPU states and high vs. low VIX states). We also demonstrate the magnitude of the herding effect on the next day's market returns in the cryptocurrency market
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