HERDING IN CRYPTO-CURRENCY MARKETS

Taufeeq Ajaz and Anoop S Kumar

Annals of Financial Economics (AFE), 2018, vol. 13, issue 02, 1-15

Abstract: We test for herding in crypto-currency markets using the CSAD method of Chang et al. (2000). Daily returns of 6 major crypto-currencies and market index CCI30 for the period 07-08-2015 t0 18-01-2018 is used. Possibility of herding under up and down market and high and low volatility is tested. Herding is found under up and down market activity, indicating over-enthusiasm and over-reaction. Market volatility is found not to have any significant impact on herding behavior. Herding is found to be dependent upon the market activity rather than market volatility.

Keywords: Crypto-currency; bitcoin; herding (search for similar items in EconPapers)
Date: 2018
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DOI: 10.1142/S2010495218500069

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