Abstract

Herding is a feature of investor behavior in financial markets, particularly in market stress. We apply an approach based on the cross-sectional dispersion of individual stocks' betas, which allows us to extract herding patterns, using two dynamic methodologies to measure the herding phenomenon over time with a state-space model for the Cryptocurrency Market. The results reveal that herding toward the market shows significant movement, and persistence regardless of the market condition, expressed through the market index, market volatility, and the volatility index. When analyzing path herding is possible to observe that herding was intense during the investigated period. We also identify a positive relationship between herding and market stress.

摘要

羊群效应是金融市场中投资者行为的一个特征，尤其是在市场压力下。我们应用了一种基于个股 Beta 的横截面离散度的方法，这使我们能够提取羊群模式，使用两种动态方法通过加密货币市场的状态空间模型随时间测量羊群现象。结果表明，无论市场状况如何，从市场指数、市场波动率和波动率指数都可以看出，趋向市场的羊群运动表现出显着的运动和持续性。在分析路径放牧时，可以观察到在调查期间放牧很激烈。我们还确定了羊群效应和市场压力之间的正相关关系。