Herding intensity and volatility in cryptocurrency markets during the COVID-19

This paper investigates whether herding is present before and during the COVID-19 pandemic, analyzing intraday data of Bitcoin and eight altcoins. The herding intensity measure of Patterson and Sharma (2006) is calculated for the first time for cryptocurrency markets. Furthermore, we employed a nove...

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Detalles Bibliográficos
Autores principales: Evrim Mandaci, Pinar, Cagli, Efe Caglar
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier Inc. 2022
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9760324/
https://www.ncbi.nlm.nih.gov/pubmed/36569341
http://dx.doi.org/10.1016/j.frl.2021.102382
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author Evrim Mandaci, Pinar
Cagli, Efe Caglar
author_facet Evrim Mandaci, Pinar
Cagli, Efe Caglar
author_sort Evrim Mandaci, Pinar
collection PubMed
description This paper investigates whether herding is present before and during the COVID-19 pandemic, analyzing intraday data of Bitcoin and eight altcoins. The herding intensity measure of Patterson and Sharma (2006) is calculated for the first time for cryptocurrency markets. Furthermore, we employed a novel Granger causality methodology with a Fourier approximation to determine the relationship between herding and volatility, considering the structural breaks. Our results indicate a significant herding behavior, concentrating during the COVID-19 outbreak. The causality test results show that herding has a significant effect on market volatility. Our results do not support the efficient market hypothesis.
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spelling pubmed-97603242022-12-19 Herding intensity and volatility in cryptocurrency markets during the COVID-19 Evrim Mandaci, Pinar Cagli, Efe Caglar Financ Res Lett Article This paper investigates whether herding is present before and during the COVID-19 pandemic, analyzing intraday data of Bitcoin and eight altcoins. The herding intensity measure of Patterson and Sharma (2006) is calculated for the first time for cryptocurrency markets. Furthermore, we employed a novel Granger causality methodology with a Fourier approximation to determine the relationship between herding and volatility, considering the structural breaks. Our results indicate a significant herding behavior, concentrating during the COVID-19 outbreak. The causality test results show that herding has a significant effect on market volatility. Our results do not support the efficient market hypothesis. Elsevier Inc. 2022-05 2021-08-17 /pmc/articles/PMC9760324/ /pubmed/36569341 http://dx.doi.org/10.1016/j.frl.2021.102382 Text en © 2021 Elsevier Inc. 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
Evrim Mandaci, Pinar
Cagli, Efe Caglar
Herding intensity and volatility in cryptocurrency markets during the COVID-19
title Herding intensity and volatility in cryptocurrency markets during the COVID-19
title_full Herding intensity and volatility in cryptocurrency markets during the COVID-19
title_fullStr Herding intensity and volatility in cryptocurrency markets during the COVID-19
title_full_unstemmed Herding intensity and volatility in cryptocurrency markets during the COVID-19
title_short Herding intensity and volatility in cryptocurrency markets during the COVID-19
title_sort herding intensity and volatility in cryptocurrency markets during the covid-19
topic Article
url https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9760324/
https://www.ncbi.nlm.nih.gov/pubmed/36569341
http://dx.doi.org/10.1016/j.frl.2021.102382
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