Title

Covid-19, Lockdowns And Herding Towards A Cryptocurrency Market-Specific Implied Volatility Index

Document Type

Article

Source of Publication

Economics Letters

Publication Date

10-1-2021

Abstract

This study investigates herd effects in 101 cryptocurrencies during the period from January 2015 to June 2020. Our results confirm the existence of herding behavior in the cryptocurrency market for the entire sample and show that herding asymmetry is present during both bullish and bearish regimes. The asymmetry in correlated trading is particularly visible in extreme return percentile regimes (1% and 5%) of cryptocurrency market Although our study finds no evidence of correlated trading when cryptocurrency specific fear prevails in the market, crypto investors seem to mimic the trading decisions of others during the COVID-19 pandemic, outside the lockdown periods. (C) 2021 Elsevier B.V. All rights reserved.

Publisher

Elsevier BV

Volume

207

Disciplines

Business

Keywords

Covid-19, Herding behavior, Cryptocurrencies, VCRIX, Market fear

Scopus ID

85111936028

Indexed in Scopus

yes

Open Access

yes

Open Access Type

Bronze: This publication is openly available on the publisher’s website but without an open license

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