Herding in the cryptocurrency market: CSSD and CSAD approaches
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Other documents of the author: Vidal-Tomás, David; Ibáñez Escribano, Ana María; Farinós, José Emilio
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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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Title
Herding in the cryptocurrency market: CSSD and CSAD approachesDate
2018-09-22Publisher
ElsevierBibliographic citation
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 2018Type
info:eu-repo/semantics/articlePublisher version
https://www.sciencedirect.com/science/article/pii/S1544612318304628#!Version
info:eu-repo/semantics/publishedVersionSubject
Abstract
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. [-]
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Finance Research Letters, online 22 September 2018Investigation project
Spanish Ministry of Education (grant number FPU2015/01434).Rights
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info:eu-repo/semantics/restrictedAccess
info:eu-repo/semantics/restrictedAccess
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