Herding and feedback trading in cryptocurrency markets

Timothy King () and Dimitrios Koutmos ()
Additional contact information
Timothy King: University of Kent
Dimitrios Koutmos: Texas A&M University - Corpus Christi

Annals of Operations Research, 2021, vol. 300, issue 1, No 4, 79-96

Abstract: ABSTRACT This paper examines the extent to which herding and feedback trading behaviors drive price dynamics across nine major cryptocurrencies. Using sample price data from bitcoin, ethereum, XRP, bitcoin cash, EOS, litecoin, stellar, cardano and IOTA, respectively, we document heterogeneity in the types of feedback trading strategies investors utilize across markets. Whereas some cryptocurrency markets show evidence of herding, or, ‘trend chasing’, behaviors, in other markets we show evidence of contrarian-type behaviors. These findings are important because they elucidate upon, firstly, what forces drive cryptocurrency markets and, secondly, how this type of trading behavior affects autocorrelation patters for cryptocurrencies. Finally, and from our intertemporal asset pricing model, we shed new light on the observed nature of the risk-return tradeoffs for each of our sampled cryptocurrencies.

Keywords: Cryptocurrencies; Feedback trading; Herding behavior; Risk-return tradeoff (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (35)

Downloads: (external link)
http://link.springer.com/10.1007/s10479-020-03874-4 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:annopr:v:300:y:2021:i:1:d:10.1007_s10479-020-03874-4

Ordering information: This journal article can be ordered from
http://www.springer.com/journal/10479

DOI: 10.1007/s10479-020-03874-4

Access Statistics for this article

Annals of Operations Research is currently edited by Endre Boros

More articles in Annals of Operations Research from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().