Open AccessCOVID-19 PANDEMIC AND HERDING BEHAVIOUR IN CRYPTOCURRENCY MARKET
Author(s) -
Samuel Asante Gyamerah
Publication year - 2021
Publication title -
applied finance letters
Language(s) - English
Resource type - Journals
eISSN - 2253-5802
pISSN - 2253-5799
DOI - 10.24135/afl.v10i.443
Subject(s) - cryptocurrency , herding , herd behavior , volatility (finance) , monetary economics , financial economics , market capitalization , market microstructure , economics , business , stock market , finance , geography , order (exchange) , context (archaeology) , computer security , archaeology , computer science , forestry
In this paper, we examine the presence of herding in cryptocurrency market for four distinct sub-periods (Pre and During COVID-19 period, bear and bull markets) using daily closing prices of 5 largest cryptocurrencies by market capitalization (Bitcoin, Ethereum, XRP, Stellar and Tether) from April 20, 2019 to January 31, 2021. The study employs cross-sectional absolute deviations (CSAD) model to test herd behavior and the results of the study provide evidence of herd behavior in the whole market for the selected period under study. The study also proofs the presence of herding during COVID-19 period and in positive market returns. These indicate that, investors in the cryptocurrency market, during COVID-19 periods, and in bullish market are inclined to the investment behavior of other peer investors in the market. The study is significant to investors, regulators and players in the cryptocurrency market so as to deepen their understanding of herding behavior since herding is thought to increase the volatility of the market.
The study is significant to investors, regulators and players in the cryptocurrency market so as to deepen their understanding of herding behavior since herding is thought to increase the volatility of the market.