Asymmetrical herding in cryptocurrency: Impact of COVID 19

Bharti; Ashish Kumar; Bharti; Ashish Kumar

doi:10.3934/QFE.2022014

Quantitative Finance and Economics

2022, Volume 6, Issue 2: 326-341. doi: 10.3934/QFE.2022014

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Research article

Asymmetrical herding in cryptocurrency: Impact of COVID 19

Bharti ,
Ashish Kumar ^,

University School of Management Studies, Guru Gobind Singh Indraprastha University, Dwarka, New Delhi, India

Received: 19 May 2022 Revised: 04 June 2022 Accepted: 09 June 2022 Published: 17 June 2022
JEL Codes: G14, G41, G12

This paper examines the evidence of herding in the revolutionary cryptocurrency market for the period from January 2017 to December 2020. The study employs quantile regression technique for investigating herd behaviour during market asymmetries of rising and falling returns, extreme market returns, high volatility, and the exogenous event of the COVID-19 pandemic. The results provide evidence of pronounced herding during the bull phase, extreme down-markets, and high volatility. These results indicate that herd hunch is prevalent in the cryptocurrency market as investors exhibit imitation while ignoring their own knowledge and beliefs. Also, the phenomenon is more vividly observed during the panic period of COVID-19.
- cryptocurrency,
- herding behaviour,
- cross-sectional absolute deviation,
- market asymmetry,
- quantile regression
Citation: Bharti, Ashish Kumar. Asymmetrical herding in cryptocurrency: Impact of COVID 19[J]. Quantitative Finance and Economics, 2022, 6(2): 326-341. doi: 10.3934/QFE.2022014

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Abstract

This paper examines the evidence of herding in the revolutionary cryptocurrency market for the period from January 2017 to December 2020. The study employs quantile regression technique for investigating herd behaviour during market asymmetries of rising and falling returns, extreme market returns, high volatility, and the exogenous event of the COVID-19 pandemic. The results provide evidence of pronounced herding during the bull phase, extreme down-markets, and high volatility. These results indicate that herd hunch is prevalent in the cryptocurrency market as investors exhibit imitation while ignoring their own knowledge and beliefs. Also, the phenomenon is more vividly observed during the panic period of COVID-19.

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