6533b838fe1ef96bd12a4854

RESEARCH PRODUCT

Herding in the cryptocurrency market: CSSD and CSAD approaches

David Vidal-tomásJosé Emilio Farinós ViñasAna M. Ibáñez

subject

CryptocurrencyCryptocurrencyMarket efficiency050208 financeFinancial economics05 social sciencesMarket efficiencyHerdingDigital currency0502 economics and businessEconomicsCapital asset pricing modelStatistical dispersionHerding050207 economicsInefficiencyBitcoinFinance

description

Abstract We analyse the existence of herding in the cryptocurrency market through the cross-sectional standard (absolute) deviation of returns. Our results show that extreme dispersion of returns is explained by rational asset pricing models although it is possible to observe herding during down markets, which highlights the inefficiency and risk of cryptocurrencies. We also observe that the smallest digital currencies are herding with the largest ones, thus traders base their decisions on the performance of the main cryptocurrencies. However, the herding phenomenon cannot be solely attributed to Bitcoin, since the rest of the market is not herding with the main cryptocurrency.

yearjournalcountryeditionlanguage
2018-09-22Finance Research Letters
https://doi.org/10.1016/j.frl.2018.09.008