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Do birds of a feather flock together? Evidence from time-varying herding behaviour of bitcoin and foreign exchange majors during Covid-19

This paper analyses herding behaviour within bitcoin and foreign exchange majors before and during the Covid-19 pandemic. We utilise both static and time-varying parameter regression herding measures to assess herding intensity based on hourly and daily frequencies, covering the period from 1 March...

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Detalles Bibliográficos
Autores principales: Mohamad, Azhar, Stavroyiannis, Stavros
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier B.V. 2022
Materias:
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9452422/
http://dx.doi.org/10.1016/j.intfin.2022.101646
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author Mohamad, Azhar
Stavroyiannis, Stavros
author_facet Mohamad, Azhar
Stavroyiannis, Stavros
author_sort Mohamad, Azhar
collection PubMed
description This paper analyses herding behaviour within bitcoin and foreign exchange majors before and during the Covid-19 pandemic. We utilise both static and time-varying parameter regression herding measures to assess herding intensity based on hourly and daily frequencies, covering the period from 1 March 2018 to 28 February 2022. Our hourly static and time-varying model results indicate the absence of herding (hence, the presence of anti-herding behaviour) within bitcoin and the foreign exchange majors before and during Covid-19. In daily herding analyses, however, while we do not find evidence of herding within bitcoin or the foreign exchange majors, we do observe strong time-varying herding within the foreign exchange majors after excluding bitcoin both before and during Covid-19, and during both up- and down-market days. We conclude that herding behaviour between foreign exchange majors tends to be time-varying and horizon-dependent. Our results could be useful for bitcoin and foreign exchange investors, traders, researchers and regulators, helping them to strengthen their understanding of herding behaviour before and during periods of market stress such as the period of Covid-19.
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spelling pubmed-94524222022-09-08 Do birds of a feather flock together? Evidence from time-varying herding behaviour of bitcoin and foreign exchange majors during Covid-19 Mohamad, Azhar Stavroyiannis, Stavros Journal of International Financial Markets, Institutions and Money Article This paper analyses herding behaviour within bitcoin and foreign exchange majors before and during the Covid-19 pandemic. We utilise both static and time-varying parameter regression herding measures to assess herding intensity based on hourly and daily frequencies, covering the period from 1 March 2018 to 28 February 2022. Our hourly static and time-varying model results indicate the absence of herding (hence, the presence of anti-herding behaviour) within bitcoin and the foreign exchange majors before and during Covid-19. In daily herding analyses, however, while we do not find evidence of herding within bitcoin or the foreign exchange majors, we do observe strong time-varying herding within the foreign exchange majors after excluding bitcoin both before and during Covid-19, and during both up- and down-market days. We conclude that herding behaviour between foreign exchange majors tends to be time-varying and horizon-dependent. Our results could be useful for bitcoin and foreign exchange investors, traders, researchers and regulators, helping them to strengthen their understanding of herding behaviour before and during periods of market stress such as the period of Covid-19. Elsevier B.V. 2022-09 2022-09-08 /pmc/articles/PMC9452422/ http://dx.doi.org/10.1016/j.intfin.2022.101646 Text en © 2022 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
Mohamad, Azhar
Stavroyiannis, Stavros
Do birds of a feather flock together? Evidence from time-varying herding behaviour of bitcoin and foreign exchange majors during Covid-19
title Do birds of a feather flock together? Evidence from time-varying herding behaviour of bitcoin and foreign exchange majors during Covid-19
title_full Do birds of a feather flock together? Evidence from time-varying herding behaviour of bitcoin and foreign exchange majors during Covid-19
title_fullStr Do birds of a feather flock together? Evidence from time-varying herding behaviour of bitcoin and foreign exchange majors during Covid-19
title_full_unstemmed Do birds of a feather flock together? Evidence from time-varying herding behaviour of bitcoin and foreign exchange majors during Covid-19
title_short Do birds of a feather flock together? Evidence from time-varying herding behaviour of bitcoin and foreign exchange majors during Covid-19
title_sort do birds of a feather flock together? evidence from time-varying herding behaviour of bitcoin and foreign exchange majors during covid-19
topic Article
url https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9452422/
http://dx.doi.org/10.1016/j.intfin.2022.101646
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