Cryptocurrencies: Herding and the transfer currency

Lars Kaiser and Sebastian Stöckl

Finance Research Letters, 2020, vol. 33, issue C

Abstract: We contribute to the ongoing debate on the existence of herding behavior in the crypto market and provide statistically significant evidence thereof. This finding is in contrast to existing empirical evidence in this field, which is primarily due to previous studies suffering from a sample bias. By introducing the concept of beta herding to the debate, we provide further robustness for our results. Moreover, we propose the concept of Bitcoin as a ‘transfer currency’ and empirically show that herding measures centered around such a transfer currency provide a more precise representation of dispersion in investors beliefs on the crypto market.

Keywords: Cryptocurrencies; Herding; Bitcoin; Altcoins; CSAD; Beta dispersion (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (25)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:33:y:2020:i:c:s1544612319302636

DOI: 10.1016/j.frl.2019.06.012

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