Signal-herding in cryptocurrencies
Panagiotis Tziogkidis () and
Journal of International Financial Markets, Institutions and Money, 2020, vol. 65, issue C
The paper examines the influence of informative signals derived from exogenous factors on herding intensity in the cryptocurrency market. We propose a novel approach whereby extracted signals are endogenized in investors’ decision-making. The signals may induce investors to converge towards (depart from) the market consensus, contributing to herding amplification (dampening). The findings reveal substantial asymmetries with respect to the intensity of herding stemming from exogenous influences. We conclude that the evidenced diversity is indicative of the value that investors attach to the information embedded in the different external signals they receive.
Keywords: Signal-herding; Conditional herding; Cryptocurrencies (search for similar items in EconPapers)
JEL-codes: G11 G15 G40 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:intfin:v:65:y:2020:i:c:s1042443120300755
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