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Do investors herd in cryptocurrencies – and why?

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  • Kallinterakis, Vasileios
  • Wang, Ying

Abstract

We investigate herding and its possible determinants in the cryptocurrency market for the December 2013 – July 2018 period. Herding is significant (irrespective of Bitcoin’s presence and trends over time) and strongly asymmetric (appearing stronger during up-markets, low volatility and high volume days), with smaller cryptocurrencies enhancing its magnitude. Our findings suggest that the cryptocurrency market entails strong destabilizing potential, the latter being of particular relevance to the authorities entrusted with its regulatory treatment.

Suggested Citation

  • Kallinterakis, Vasileios & Wang, Ying, 2019. "Do investors herd in cryptocurrencies – and why?," Research in International Business and Finance, Elsevier, vol. 50(C), pages 240-245.
  • Handle: RePEc:eee:riibaf:v:50:y:2019:i:c:p:240-245
    DOI: 10.1016/j.ribaf.2019.05.005
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    Herding; Cryptocurrencies; Bitcoin;

    JEL classification:

    • G40 - Financial Economics - - Behavioral Finance - - - General
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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