Investors’ mood and herd investing: a quantile-on-quantile regression explanation from crypto market

Author First name, Last name, Institution

Ghulame Rubbaniy, Zayed University
Kienpin Tee, Zayed University
Perihan Iren, Zayed University
Sonia Abdennadher, Higher Colleges of Technology

Document Type

Article

Source of Publication

Finance Research Letters

Publication Date

11-1-2021

Abstract

This study uses daily data of 382 cryptocurrencies and a quantile-on-quantile regression (QQR) framework developed by Sim and Zhou (2015), to establish a link between herding behavior and investors’ mood and provide support for mood-as-information hypothesis in the crypto market. The results of QQR analysis reveal that the effect of investors’ mood on herd investing behavior is asymmetric and regime specific with a (weaker)higher (anti)herding tendency towards sad(happy) quantiles of investors’ mood. The results provide support to the portfolio managers by documenting that investors’ mood can be used as a signal to monitor the possible speculative activities in crypto market.

DOI Link

10.1016/j.frl.2021.102585

ISSN

1544-6123

Publisher

Elsevier

Disciplines

Business

Keywords

Cryptocurrencies, Herding behavior, Happiness index, Investors’ mood, Quantile-on-quantile regression

Scopus ID

85121103856

Recommended Citation

Rubbaniy, Ghulame; Tee, Kienpin; Iren, Perihan; and Abdennadher, Sonia, "Investors’ mood and herd investing: a quantile-on-quantile regression explanation from crypto market" (2021). All Works. 4690.
https://zuscholars.zu.ac.ae/works/4690

Indexed in Scopus

yes

Open Access

no