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Herding Behaviour in the Cryptocurrency Market

Elie Bouri (), Rangan Gupta () and David Roubaud

No 201834, Working Papers from University of Pretoria, Department of Economics

Abstract: This study examines the presence of herding in the cryptocurrency market. The latter is the outcome of mass collaboration and imitation. Results from the static model suggest no significant herding. However, the presence of structural breaks and nonlinearities in the data series suggests applying a static model is not appropriate. Accordingly, we conduct a rolling-window analysis, and those results point to significant herding behavior, which varies over time. Using a logistic regression, we find that herding tends to occur as uncertainty increases. Our findings induce useful insights related to portfolio and risk management, trading strategies, and market efficiency.

Keywords: Bitcoin; cryptocurrency market; herding behavior; economic policy uncertainty (search for similar items in EconPapers)
JEL-codes: C22 G13 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-pay and nep-rmg
Date: 2018-06
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