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Herding Behavior and Cryptocurrency: Market Asymmetries, Inter-Dependency and Intra-Dependency KCI 등재 SCOPUS

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  • URLhttps://db.koreascholar.com/Article/Detail/394902
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한국유통과학회 (Korea Distribution Science Association)
초록

The study investigates herding behavior in cryptocurrencies in different situations. This study employs daily returns of major cryptocurrencies listed in CCI30 index and sub-major cryptocurrencies and major stock returns listed in Dow-Jones Industrial Average Index, from 2015 to 2018. Quantile regression method is employed to test the herding effect in market asymmetries, inter-dependency and intra-dependency cases. Findings confirm the presence of herding in cryptocurrency in upper quantiles in bullish and high volatility periods because of overexcitement among investors, which lead to high volume trading. Major cryptocurrencies cause herding in sub-major cryptocurrencies, but it is a unidirectional relation. However, no intra-dependency effect among cryptocurrencies and equity market is observed. Results indicate that in the CKK model herding exists at upper quantile in market that may be due when the market is moving fast, continuously trading, and bullish trend are prevailing. Further analysis confirms this narrative as, at upper quantile, the beta of bullish regime is negative and significant, meaning the main source of market herding is a bullish trend in investment, which increases market turbulence and gives investors opportunity to herd. Also, we found that herding in cryptocurrencies exits in high volatility periods, but this herding mostly depends on market activity, not market movement.

목차
Abstract
1. Introduction
2. Literature Review
3. Methodology
4. Results
5. Conclusion
References
저자
  • Raja Nabeel-Ud-Din JALAL(Dipartmento di Economia Aziendale, Università degli Studi “G.d’A” Chieti-Pescara) Corresponding Author.
  • Massimo SARGIACOMO(Ordinary Professor of Accounting, Dipartmento di Economia Aziendale, Università degli Studi “G.d’A” Chieti-Pescara)
  • Najam Us SAHAR(Assistant Professor of Finance, FMS, Riphah International University)
  • Um-E-Roman FAYYAZ(Dipartmento di Economia Aziendale, Università degli Studi “G.d’A” Chieti-Pescara)