Herding intensity and volatility in cryptocurrency markets during the COVID-19

Evrim Mandacı P., Çağlı E. Ç.

FINANCE RESEARCH LETTERS, cilt.46, 2022 (SSCI) identifier identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 46
  • Basım Tarihi: 2022
  • Doi Numarası: 10.1016/j.frl.2021.102382
  • Dergi Adı: FINANCE RESEARCH LETTERS
  • Derginin Tarandığı İndeksler: Social Sciences Citation Index (SSCI), Scopus, ABI/INFORM
  • Anahtar Kelimeler: Herding, Bitcoin, Cryptocurrencies, Behavioral finance, COVID-19, BEHAVIOR, BITCOIN, PRICES
  • Dokuz Eylül Üniversitesi Adresli: Evet

Özet

This paper investigates whether herding is present before and during the COVID-19 pandemic, analyzing intraday data of Bitcoin and eight altcoins. The herding intensity measure of Patterson and Sharma (2006) is calculated for the first time for cryptocurrency markets. Furthermore, we employed a novel Granger causality methodology with a Fourier approximation to determine the relationship between herding and volatility, considering the structural breaks. Our results indicate a significant herding behavior, concentrating during the COVID-19 outbreak. The causality test results show that herding has a significant effect on market volatility. Our results do not support the efficient market hypothesis.