Herding behaviour in digital currency markets: An integrated survey and empirical estimation
Autor
Kyriazis, Nikolaos A.
Institución
Resumen
This paper reviews the empirical literature on the highly popular phenomenon of herding behaviour in the
markets of digital currencies. Furthermore, a comparison takes place with outcomes from earlier studies about
traditional financial assets. Moreover, we empirically investigate herding behaviour of 240 cryptocurrencies
during bull and bear markets. The present survey suggests that empirical findings about whether herding phenomena have made a significant appearance or not in cryptocurrency markets are split. The Cross-sectional absolute deviations (CSAD) and Cross-sectional standard deviations (CSSD) approaches for measuring herding
tendencies are found to be the most popular. Different behaviour is detected in bull periods compared to bear
markets. Nevertheless, evidence from primary studies indicates that herding is stronger during extreme situations
rather than in normal conditions. However, our empirical estimations reveal that herding behaviour is evident
only in bull markets. These findings cast light on and provide a roadmap for investment decisions with modern
forms of liquidity.