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Herding behavior in cryptocurrencies revisited: Novel evidence from a TVP model

Stavros Stavroyiannis and Vassilios Babalos

Journal of Behavioral and Experimental Finance, 2019, vol. 22, issue C, 57-63

Abstract: In view of the growing popularity of cryptocurrencies, the purpose of the present study is to offer new insights on the herding behavior of cryptocurrencies. To this end, we employ market prices of the largest cryptocurrencies for a period extending from August of 2015 through February of 2018. Results derived from the standard testing procedure using ordinary least squares pointed to the existence of herding behavior in the cryptocurrencies’ market. Evidence on herding effects are further corroborated employing a quantile regression that accounts for the asymmetric nature of cryptocurrencies’ returns. However, herding behavior is no longer present when a more robust time-varying regression model is employed. Our results entail significant implications for researchers, investors and market authorities.

Keywords: Cryptocurrencies; Herding; Speculation; Dynamic analysis (search for similar items in EconPapers)
Date: 2019
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DOI: 10.1016/j.jbef.2019.02.007

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Journal of Behavioral and Experimental Finance is currently edited by Michael Dowling and Jürgen Huber

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