Investors’ mood and herd investing: a quantile-on-quantile regression explanation from crypto market
Source of Publication
Finance Research Letters
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.
Cryptocurrencies, Herding behavior, Happiness index, Investors’ mood, Quantile-on-quantile regression
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.
Indexed in Scopus