The effects of a “black swan” event (COVID-19) on herding behavior in cryptocurrency markets

Larisa Yarovaya, Roman Matkovskyy and Akanksha Jalan
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Akanksha Jalan: ESC [Rennes] - ESC Rennes School of Business

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Abstract: This paper analyses herding in cryptocurrency markets in the time of the COVID-19 pandemic. We employ a combination of quantitative methods to hourly prices of the four most traded cryptocurrency markets - USD, EUR, JPY and KRW - for the period from 1st January 2019 to 13th March 2020. While there are several strong theoretical reasons to observe the "black swan" effect on cryptocurrency herding, our results suggest that COVID-19 does not amplify herding in cryptocurrency markets. In all markets studied, herding remains contingent on up or down markets days, but does not get stronger during the COVID-19. These results are important for cryptocurrency investors and regulators to enhance their understanding of cryptocurrency markets and the financial effects of the COVID-19 pandemic.

Keywords: COVID-19; Black swan effect; Herding; Cryptocurrencies; Bitcoin (search for similar items in EconPapers)
Date: 2021-11
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Citations: View citations in EconPapers (22)

Published in Journal of International Financial Markets, Institutions and Money, 2021, 75, pp.101321. ⟨10.1016/j.intfin.2021.101321⟩

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Journal Article: The effects of a “black swan” event (COVID-19) on herding behavior in cryptocurrency markets (2021)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-03512931

DOI: 10.1016/j.intfin.2021.101321

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