Title

COVID-19, Lockdowns and Herding Towards Cryptocurrency Market Specific Implied Volatility Index

Author First name, Last name, Institution

Ghulame Rubbaniy

Document Type

Article

Source of Publication

SSRN Electronic Journal

Publication Date

1-1-2020

Abstract

This study investigates herds effect in more than 100 cryptocurrencies during the period from January 2015 to June 2020. The results document a significant evidence of herding behavior in the cryptocurrency market. My findings show that herding asymmetry is present during bullish and bearish regimes of cryptocurrency market, where the herds investing is dominantly visible during extremely bullish percentile regimes of cryptocurrency market. Although the study finds no evidence of correlated trading when cryptocurrency specific fear prevails in the market, yet crypto investors mimic trading decisions of others during the times of COVID-19 except for the period of lockdowns.

ISSN

1556-5068

Publisher

Elsevier BV

Disciplines

Business

Indexed in Scopus

no

Open Access

no

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