Dr. Ghulame Rubbaniy Ghulame.Rubbaniy@uwe.ac.uk
Senior Lecturer in Accounting and Finance
Dr. Ghulame Rubbaniy Ghulame.Rubbaniy@uwe.ac.uk
Senior Lecturer in Accounting and Finance
Kienpin Tee
Perihan Iren
Sonia Abdennadher
This study uses daily data of 382 cryptocurrencies and a quantile-on-quantile regression (QQR) framework developed by Sim and Zhou (2015), to establish a link between herding behavior and investors’ mood and provide support for mood-as-information hypothesis in the crypto market. The results of QQR analysis reveal that the effect of investors’ mood on herd investing behavior is asymmetric and regime specific with a (weaker)higher (anti)herding tendency towards sad(happy) quantiles of investors’ mood. The results provide support to the portfolio managers by documenting that investors’ mood can be used as a signal to monitor the possible speculative activities in crypto market.
Journal Article Type | Article |
---|---|
Acceptance Date | Nov 17, 2021 |
Online Publication Date | Nov 26, 2021 |
Publication Date | Jun 30, 2022 |
Deposit Date | Nov 20, 2023 |
Journal | Finance Research Letters |
Print ISSN | 1544-6123 |
Publisher | Elsevier |
Peer Reviewed | Peer Reviewed |
Volume | 47 |
Article Number | 102585 |
DOI | https://doi.org/10.1016/j.frl.2021.102585 |
Public URL | https://uwe-repository.worktribe.com/output/11456533 |
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