Herding in the cryptocurrency market: CSSD and CSAD approaches
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INVESTIGACIONAquest recurs és restringit
https://doi.org/10.1016/j.frl.2018.09.008 |
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Títol
Herding in the cryptocurrency market: CSSD and CSAD approachesData de publicació
2018-09-22Editor
ElsevierCita bibliogràfica
VIDAL TOMÁS, David; IBÁÑEZ ESCRIBANO, Ana María; FARINÓS VIÑAS, José Emilio (2018). Herding in the cryptocurrency market: CSSD and CSAD approaches. Finance Research Letters, online 22 September 2018Tipus de document
info:eu-repo/semantics/articleVersió de l'editorial
https://www.sciencedirect.com/science/article/pii/S1544612318304628#!Versió
info:eu-repo/semantics/publishedVersionParaules clau / Matèries
Resum
We analyse the existence of herding in the cryptocurrency market through the cross-sectional standard (absolute) deviation of returns. Our results show that extreme dispersion of returns is explained by rational asset ... [+]
We analyse the existence of herding in the cryptocurrency market through the cross-sectional standard (absolute) deviation of returns. Our results show that extreme dispersion of returns is explained by rational asset pricing models although it is possible to observe herding during down markets, which highlights the inefficiency and risk of cryptocurrencies. We also observe that the smallest digital currencies are herding with the largest ones, thus traders base their decisions on the performance of the main cryptocurrencies. However, the herding phenomenon cannot be solely attributed to Bitcoin, since the rest of the market is not herding with the main cryptocurrency. [-]
Publicat a
Finance Research Letters, online 22 September 2018Proyecto de investigación
Spanish Ministry of Education (grant number FPU2015/01434).Drets d'accés
http://rightsstatements.org/vocab/CNE/1.0/
info:eu-repo/semantics/restrictedAccess
info:eu-repo/semantics/restrictedAccess
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