COVID-19, Lockdowns and Herding Towards Cryptocurrency Market Specific Implied Volatility Index
Source of Publication
SSRN Electronic Journal
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.
Rubbaniy, Ghulame, "COVID-19, Lockdowns and Herding Towards Cryptocurrency Market Specific Implied Volatility Index" (2020). All Works. 1113.
Indexed in Scopus