Vertaisarvioitu alkuperäisartikkeli tai data-artikkeli tieteellisessä aikakauslehdessä (A1)

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




Julkaisun tekijät: Ali Syed Riaz Mahmood

Kustantaja: Palgrave Macmillan

Julkaisuvuosi: 2022

Journal: Journal of Asset Management

eISSN: 1479-179X

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

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

Rinnakkaistallenteen osoite: https://research.utu.fi/converis/portal/detail/Publication/175181717


Tiivistelmä

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