COVID-19, Lockdowns and herding towards a cryptocurrency market-specific implied volatility index

Ghulame Rubbaniy, Stathis Polyzos, Syed Kumail Abbas Rizvi and Abiot Tessema

Economics Letters, 2021, vol. 207, issue C

Abstract: This study investigates herd effects in 101 cryptocurrencies during the period from January 2015 to June 2020. Our results confirm the existence of herding behavior in the cryptocurrency market for the entire sample and show that herding asymmetry is present during both bullish and bearish regimes. The asymmetry in correlated trading is particularly visible in extreme return percentile regimes (1% and 5%) of cryptocurrency market Although our study finds no evidence of correlated trading when cryptocurrency specific fear prevails in the market, crypto investors seem to mimic the trading decisions of others during the COVID-19 pandemic, outside the lockdown periods.

Keywords: Covid-19; Herding behavior; Cryptocurrencies; VCRIX; Market fear (search for similar items in EconPapers)
JEL-codes: G12 G15 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (18)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:207:y:2021:i:c:s0165176521002949

DOI: 10.1016/j.econlet.2021.110017

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