The effects of a “black swan” event (COVID-19) on herding behavior in cryptocurrency markets

This paper analyses herding in cryptocurrency markets in the time of the COVID-19 pandemic. We employ a combination of quantitative methods to hourly prices of the four most traded cryptocurrency markets - USD, EUR, JPY and KRW - for the period from 1st January 2019 to 13th March 2020. While there a...

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Detalles Bibliográficos
Autores principales: Yarovaya, Larisa, Matkovskyy, Roman, Jalan, Akanksha
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier B.V. 2021
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8612810/
http://dx.doi.org/10.1016/j.intfin.2021.101321
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author Yarovaya, Larisa
Matkovskyy, Roman
Jalan, Akanksha
author_facet Yarovaya, Larisa
Matkovskyy, Roman
Jalan, Akanksha
author_sort Yarovaya, Larisa
collection PubMed
description This paper analyses herding in cryptocurrency markets in the time of the COVID-19 pandemic. We employ a combination of quantitative methods to hourly prices of the four most traded cryptocurrency markets - USD, EUR, JPY and KRW - for the period from 1st January 2019 to 13th March 2020. While there are several strong theoretical reasons to observe the “black swan” effect on cryptocurrency herding, our results suggest that COVID-19 does not amplify herding in cryptocurrency markets. In all markets studied, herding remains contingent on up or down markets days, but does not get stronger during the COVID-19. These results are important for cryptocurrency investors and regulators to enhance their understanding of cryptocurrency markets and the financial effects of the COVID-19 pandemic.
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spelling pubmed-86128102021-11-26 The effects of a “black swan” event (COVID-19) on herding behavior in cryptocurrency markets Yarovaya, Larisa Matkovskyy, Roman Jalan, Akanksha Journal of International Financial Markets, Institutions and Money Article This paper analyses herding in cryptocurrency markets in the time of the COVID-19 pandemic. We employ a combination of quantitative methods to hourly prices of the four most traded cryptocurrency markets - USD, EUR, JPY and KRW - for the period from 1st January 2019 to 13th March 2020. While there are several strong theoretical reasons to observe the “black swan” effect on cryptocurrency herding, our results suggest that COVID-19 does not amplify herding in cryptocurrency markets. In all markets studied, herding remains contingent on up or down markets days, but does not get stronger during the COVID-19. These results are important for cryptocurrency investors and regulators to enhance their understanding of cryptocurrency markets and the financial effects of the COVID-19 pandemic. Elsevier B.V. 2021-11 2021-03-06 /pmc/articles/PMC8612810/ http://dx.doi.org/10.1016/j.intfin.2021.101321 Text en © 2021 Elsevier B.V. All rights reserved. Since January 2020 Elsevier has created a COVID-19 resource centre with free information in English and Mandarin on the novel coronavirus COVID-19. The COVID-19 resource centre is hosted on Elsevier Connect, the company's public news and information website. Elsevier hereby grants permission to make all its COVID-19-related research that is available on the COVID-19 resource centre - including this research content - immediately available in PubMed Central and other publicly funded repositories, such as the WHO COVID database with rights for unrestricted research re-use and analyses in any form or by any means with acknowledgement of the original source. These permissions are granted for free by Elsevier for as long as the COVID-19 resource centre remains active.
spellingShingle Article
Yarovaya, Larisa
Matkovskyy, Roman
Jalan, Akanksha
The effects of a “black swan” event (COVID-19) on herding behavior in cryptocurrency markets
title The effects of a “black swan” event (COVID-19) on herding behavior in cryptocurrency markets
title_full The effects of a “black swan” event (COVID-19) on herding behavior in cryptocurrency markets
title_fullStr The effects of a “black swan” event (COVID-19) on herding behavior in cryptocurrency markets
title_full_unstemmed The effects of a “black swan” event (COVID-19) on herding behavior in cryptocurrency markets
title_short The effects of a “black swan” event (COVID-19) on herding behavior in cryptocurrency markets
title_sort effects of a “black swan” event (covid-19) on herding behavior in cryptocurrency markets
topic Article
url https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8612810/
http://dx.doi.org/10.1016/j.intfin.2021.101321
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