Herding in the cryptocurrency market: CSSD and CSAD approaches

David Vidal-Tomás, Ana M. Ibáñez and José E. Farinós

Finance Research Letters, 2019, vol. 30, issue C, 181-186

Abstract: We analyse the existence of herding in the cryptocurrency market through the cross-sectional standard (absolute) deviation of returns. Our results show that extreme dispersion of returns is explained by rational asset pricing models although it is possible to observe herding during down markets, which highlights the inefficiency and risk of cryptocurrencies. We also observe that the smallest digital currencies are herding with the largest ones, thus traders base their decisions on the performance of the main cryptocurrencies. However, the herding phenomenon cannot be solely attributed to Bitcoin, since the rest of the market is not herding with the main cryptocurrency.

Keywords: Herding; Market efficiency; Cryptocurrency; Bitcoin (search for similar items in EconPapers)
JEL-codes: G12 G14 G40 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (48)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:30:y:2019:i:c:p:181-186

DOI: 10.1016/j.frl.2018.09.008

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