COVID-19, Lockdowns and herding towards a cryptocurrency market-specific implied volatility index

Rubbaniy, Ghulame; Polyzos, Stathis; Rizvi, Syed Kumail Abbas; Tessema, Abiot

Abstract

This study investigates herd effects in 101 cryptocurrencies during the period from January 2015 to June 2020. Our results confirm the existence of herding behavior in the cryptocurrency market for the entire sample and show that herding asymmetry is present during both bullish and bearish regimes. The asymmetry in correlated trading is particularly visible in extreme return percentile regimes (1% and 5%) of cryptocurrency market Although our study finds no evidence of correlated trading when cryptocurrency specific fear prevails in the market, crypto investors seem to mimic the trading decisions of others during the COVID-19 pandemic, outside the lockdown periods.

• Journal Article Type: Article
• Acceptance Date: Jul 26, 2021
• Online Publication Date: Jul 29, 2021
• Publication Date: Oct 31, 2021
• Deposit Date: Nov 20, 2023
• Journal: Economics Letters
• Print ISSN: 0165-1765
• Publisher: Elsevier
• Peer Reviewed: Peer Reviewed
• Volume: 207
• Article Number: 110017
• DOI: https://doi.org/10.1016/j.econlet.2021.110017
• Public URL: https://uwe-repository.worktribe.com/output/11456561