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Disposition effect and herding behavior in the cryptocurrency market

Steven Haryanto (), Athor Subroto () and Maria Ulpah ()
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Steven Haryanto: Universitas Indonesia
Athor Subroto: Universitas Indonesia
Maria Ulpah: Universitas Indonesia

Economia e Politica Industriale: Journal of Industrial and Business Economics, 2020, vol. 47, issue 1, No 5, 115-132

Abstract: Abstract This paper investigates two behavioral biases—the disposition effect and herding—using the Mt. Gox data between 2011–2013 in the bitcoin cryptocurrency market. Using trade round-trip and survival analysis, it shows the market exhibits a reverse disposition effect in bullish periods and the usual positive disposition effect in bearish periods. It finds evidence of herding in bearish as well as bullish periods using a return dispersion model. Additionally, it shows that herding moves along the market trend. Herding increases in both bullish and bearish periods when the bitcoin price increases and decreases, respectively.

Keywords: Cryptocurrency market; Bitcoin; Disposition effect; Herding behavior (search for similar items in EconPapers)
JEL-codes: G40 (search for similar items in EconPapers)
Date: 2020
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DOI: 10.1007/s40812-019-00130-0

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Economia e Politica Industriale: Journal of Industrial and Business Economics is currently edited by C. Cambini, M.G. Colombo, L. Piscitello, L. Rondi and A. Zanfei

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