Herding intensity and volatility in cryptocurrency markets during the COVID-19

Pinar Evrim Mandaci and Efe Cagli

Finance Research Letters, 2022, vol. 46, issue PB

Abstract: This paper investigates whether herding is present before and during the COVID-19 pandemic, analyzing intraday data of Bitcoin and eight altcoins. The herding intensity measure of Patterson and Sharma (2006) is calculated for the first time for cryptocurrency markets. Furthermore, we employed a novel Granger causality methodology with a Fourier approximation to determine the relationship between herding and volatility, considering the structural breaks. Our results indicate a significant herding behavior, concentrating during the COVID-19 outbreak. The causality test results show that herding has a significant effect on market volatility. Our results do not support the efficient market hypothesis.

Keywords: Herding; Bitcoin; Cryptocurrencies; Behavioral finance; COVID-19 (search for similar items in EconPapers)
JEL-codes: G11 G14 G15 G40 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (20)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:46:y:2022:i:pb:s1544612321003846

DOI: 10.1016/j.frl.2021.102382

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