Investigation of the intentional and spurious herding effects in the cryptocurrency market with global events

Natalia Alves Tavares, Paulo Vitor Jordão da Gama Silva and Marcelo Cabus Klotzle

The Quarterly Review of Economics and Finance, 2025, vol. 102, issue C

Abstract: The study aims to investigate the intentional and spurious herd effects in the cryptocurrency market, considering the most popular events globally, according to Google Trends, from 2018 to 2022. Although the study of herd behavior is explored in the cryptocurrency market, there has not yet been a distinction between these factors' typology and real-world events. We use 100 cryptocurrencies to analyze the Absolute Transversal Deviation (CSAD). As an innovative way, we estimated the regressions considering both Premium CSAD and CRIX CSAD for the herd periods and with events using the Zivot-Andrew test. We observe the occurrence of herd behavior, spurious (rational) and intentional (irrational), in the period of total analysis and the events, with a higher prevalence of the intentional effect. We noted that the CSAD Spurious Premium model was more significant for events before and after the structural break than the CSAD models using the CRIX index.

Keywords: Herding behavior; Behavioral finance; Intentional herding; Spurious herding; Cryptocurrencies (search for similar items in EconPapers)
JEL-codes: C1 G1 G4 (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eee:quaeco:v:102:y:2025:i:c:s106297692500033x

DOI: 10.1016/j.qref.2025.101992

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