Abstract

This paper uses the cross-sectional absolute deviation (CSAD) in static and time-varying versions to examine herding in the cryptocurrency market from April 2013 to November 2019. Results from the static model confirm the evidence of an anti-herding behavior over the considered period. However, the time-varying analysis suggests the presence of herding behavior around the end of 2013 and persists until the end of the sample period. Furthermore, by examining the factors relating to market microstructure and general economic conditions that can drive herding, we find that the level of herding in the cryptocurrency market rises as volatility, the S&P500, and the dollar index increase. However, the rise in the trading volume, gold price, and the economic policy uncertainty index (EPU) reduce the herding in the cryptocurrency market.

摘要

本文使用静态和时变版本的横截面绝对偏差 (CSAD) 来检验 2013 年 4 月至 2019 年 11 月加密货币市场的羊群效应。静态模型的结果证实了反羊群行为的证据。时期。然而，随时间变化的分析表明，在 2013 年底左右出现了从众行为，并一直持续到样本期结束。此外，通过研究与市场微观结构和总体经济状况相关的可能推动羊群效应的因素，我们发现加密货币市场的羊群效应随着波动性、标准普尔 500 指数和美元指数的上升而上升。然而，交易量、黄金价格和经济政策不确定性指数（EPU）的上升减少了加密货币市场的羊群效应。