EconPapers    
Economics at your fingertips  
 

Disposition effect and herding behavior in the cryptocurrency market

Steven Haryanto (), Athor Subroto () and Maria Ulpah ()
Additional contact information
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
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3) Track citations by RSS feed

Downloads: (external link)
http://link.springer.com/10.1007/s40812-019-00130-0 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:epolin:v:47:y:2020:i:1:d:10.1007_s40812-019-00130-0

Ordering information: This journal article can be ordered from
http://www.springer.com/economics/journal/40812

DOI: 10.1007/s40812-019-00130-0

Access Statistics for this article

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

More articles in Economia e Politica Industriale: Journal of Industrial and Business Economics from Springer, Associazione Amici di Economia e Politica Industriale
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().

 
Page updated 2022-05-12
Handle: RePEc:spr:epolin:v:47:y:2020:i:1:d:10.1007_s40812-019-00130-0