Herding in the cryptocurrency market: CSSD and CSAD approaches
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Mostrar el registro completo del ítemcomunitat-uji-handle:10234/9
comunitat-uji-handle2:10234/8643
comunitat-uji-handle3:10234/8644
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https://doi.org/10.1016/j.frl.2018.09.008 |
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Título
Herding in the cryptocurrency market: CSSD and CSAD approachesFecha de publicación
2018-09-22Editor
ElsevierCita bibliográfica
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 2018Tipo de documento
info:eu-repo/semantics/articleVersión de la editorial
https://www.sciencedirect.com/science/article/pii/S1544612318304628#!Versión
info:eu-repo/semantics/publishedVersionPalabras clave / Materias
Resumen
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. [-]
Publicado en
Finance Research Letters, online 22 September 2018Proyecto de investigación
Spanish Ministry of Education (grant number FPU2015/01434).Derechos de acceso
http://rightsstatements.org/vocab/CNE/1.0/
info:eu-repo/semantics/restrictedAccess
info:eu-repo/semantics/restrictedAccess
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