Refereed journal article or data article (A1)

Herding in different states and terms: evidence from the cryptocurrency market




List of Authors: Ali Syed Riaz Mahmood

Publisher: Palgrave Macmillan

Publication year: 2022

Journal: Journal of Asset Management

eISSN: 1479-179X

DOI: http://dx.doi.org/10.1057/s41260-022-00265-1

URL: https://doi.org/10.1057/s41260-022-00265-1

Self-archived copy’s web address: https://research.utu.fi/converis/portal/detail/Publication/175181717


Abstract

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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Last updated on 2022-16-05 at 10:17