IDEAS home Printed from https://ideas.repec.org/a/eee/ecofin/v80y2025ics1062940825001275.html
   My bibliography  Save this article

Geopolitical risk, herd behavior, and cryptocurrency market

Author

Listed:
  • Wanidwaranan, Phasin
  • Wongkantarakorn, Jutamas
  • Padungsaksawasdi, Chaiyuth

Abstract

By analyzing an association between return dispersions and market returns in cryptocurrency markets, geopolitical risk (GPR) stimulates herding at the market-wide level. We augment the aggregate herding detection models of Chang, Cheng, and Khorana (2000) and find that severe herd behavior is presented in nearly all cases. Thus, the GPR is an essential moderating factor to promote herd behavior in crypto assets. Considering the GPR sub-indices, the GPR Threat index has a stronger impact than the GPR Act index. Imitating trades are more prevalent during bearish markets, confirming asymmetric herd behavior. Specifically, herd behavior is the strongest during the COVID-19 pandemic and the Russia-Ukraine war. We infer that herding is intentional, as information symmetry, disclosure, and quality in cryptocurrency markets are relatively low. Overall findings support the “fear of missing out” (FOMO) phenomenon and the pump and dump schemes suggested by Baur and Dimpfl (2018).

Suggested Citation

  • Wanidwaranan, Phasin & Wongkantarakorn, Jutamas & Padungsaksawasdi, Chaiyuth, 2025. "Geopolitical risk, herd behavior, and cryptocurrency market," The North American Journal of Economics and Finance, Elsevier, vol. 80(C).
    • Handle: RePEc:eee:ecofin:v:80:y:2025:i:c:s1062940825001275
    DOI: 10.1016/j.najef.2025.102487
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S1062940825001275
    Download Restriction: Full text for ScienceDirect subscribers only
    File URL: https://libkey.io/10.1016/j.najef.2025.102487?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to

    for a different version of it.

    More about this item

    Keywords

    ;
    ;
    ;
    ;
    ;
    ;

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G40 - Financial Economics - - Behavioral Finance - - - General
    • G41 - Financial Economics - - Behavioral Finance - - - Role and Effects of Psychological, Emotional, Social, and Cognitive Factors on Decision Making in Financial Markets

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:ecofin:v:80:y:2025:i:c:s1062940825001275. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/inca/620163 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.