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Investigation of the intentional and spurious herding effects in the cryptocurrency market with global events

Author

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  • Tavares, Natalia Alves
  • da Gama Silva, Paulo Vitor Jordão
  • Klotzle, Marcelo Cabus

Abstract

The study aims to investigate the intentional and spurious herd effects in the cryptocurrency market, considering the most popular events globally, according to Google Trends, from 2018 to 2022. Although the study of herd behavior is explored in the cryptocurrency market, there has not yet been a distinction between these factors' typology and real-world events. We use 100 cryptocurrencies to analyze the Absolute Transversal Deviation (CSAD). As an innovative way, we estimated the regressions considering both Premium CSAD and CRIX CSAD for the herd periods and with events using the Zivot-Andrew test. We observe the occurrence of herd behavior, spurious (rational) and intentional (irrational), in the period of total analysis and the events, with a higher prevalence of the intentional effect. We noted that the CSAD Spurious Premium model was more significant for events before and after the structural break than the CSAD models using the CRIX index.

Suggested Citation

  • Tavares, Natalia Alves & da Gama Silva, Paulo Vitor Jordão & Klotzle, Marcelo Cabus, 2025. "Investigation of the intentional and spurious herding effects in the cryptocurrency market with global events," The Quarterly Review of Economics and Finance, Elsevier, vol. 102(C).
    • Handle: RePEc:eee:quaeco:v:102:y:2025:i:c:s106297692500033x
    DOI: 10.1016/j.qref.2025.101992
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    More about this item

    Keywords

    Herding behavior; Behavioral finance; Intentional herding; Spurious herding; Cryptocurrencies;
    All these keywords.

    JEL classification:

    • G4 - Financial Economics - - Behavioral Finance
    • G1 - Financial Economics - - General Financial Markets
    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General

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