Herding behavior in conventional cryptocurrency market, non-fungible tokens, and DeFi assets

Imran Yousaf and Larisa Yarovaya

Finance Research Letters, 2022, vol. 50, issue C

Abstract: We examine the static and time-varying herding behavior in three cryptocurrency classes: ‘conventional’ cryptocurrencies, non-fungible tokens, and DeFi assets during the most recent cryptocurrency bubble of 2021. While static herding analysis failed to demonstrate any evidence of herding, the time-varying herding has been identified in conventional cryptocurrencies and DeFi assets for the short investment horizons. The herding asymmetry analysis reveals that herding is not evident in conventional cryptocurrencies and NFT during up/down market, high/low volatility days, and high/low trading days. We only find herding in DeFi assets during the low volatility days.

Keywords: NFT herding; Cryptocurrencies; Non-fungible tokens; DeFi assets; Cryptocurrency bubble (search for similar items in EconPapers)
JEL-codes: C22 G13 G14 G15 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (31)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:50:y:2022:i:c:s1544612322004822

DOI: 10.1016/j.frl.2022.103299

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