This paper examines the extent to which herding and feedback trading behaviors drive price dynamics across nine major cryptocurrencies. Using sample price data from bitcoin, ethereum, XRP, bitcoin cash, EOS, litecoin, stellar, cardano and IOTA, respectively, we document heterogeneity in the types of feedback trading strategies investors utilize across markets. Whereas some cryptocurrency markets show evidence of herding, or, ‘trend chasing’, behaviors, in other markets we show evidence of contrarian-type behaviors. These findings are important because they elucidate upon, firstly, what forces drive cryptocurrency markets and, secondly, how this type of trading behavior affects autocorrelation patters for cryptocurrencies. Finally, and from our intertemporal asset pricing model, we shed new light on the observed nature of the risk-return tradeoffs for each of our sampled cryptocurrencies.

中文翻译：

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加密货币市场中的羊群效应和反馈交易

本文研究了羊群和反馈交易行为在多大程度上推动了九种主要加密货币的价格动态。我们分别使用来自比特币、以太坊、瑞波币、比特币现金、EOS、莱特币、恒星币、卡尔达诺币和 IOTA 的样本价格数据，记录了投资者在不同市场中使用的反馈交易策略类型的异质性。尽管一些加密货币市场显示出羊群行为或“趋势追逐”行为的证据，但在其他市场中，我们显示出反向行为的证据。这些发现很重要，因为它们首先阐明了推动加密货币市场的力量，其次，这种类型的交易行为如何影响加密货币的自相关模式。最后，从我们的跨期资产定价模型来看，