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

Evrim Mandacı P., Çağlı E. Ç.

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

  • Publication Type: Article / Article
  • Volume: 46
  • Publication Date: 2022
  • Doi Number: 10.1016/j.frl.2021.102382
  • Journal Name: FINANCE RESEARCH LETTERS
  • Journal Indexes: Social Sciences Citation Index (SSCI), Scopus, ABI/INFORM
  • Keywords: Herding, Bitcoin, Cryptocurrencies, Behavioral finance, COVID-19, BEHAVIOR, BITCOIN, PRICES
  • Dokuz Eylül University Affiliated: Yes

Abstract

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.