Herding behaviour in cryptocurrencies
Herding behaviour in cryptocurrencies
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DOI：
10.1016/j.frl.2018.07.008
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发表时间：
2019-06-01
影响因子：
10.4
通讯作者：
Roubaud, David
中科院分区：
文献类型：
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作者：
Bouri, Elie;Gupta, Rangan;Roubaud, David
本研究考察了加密货币市场中羊群行为的存在。后者是大规模合作和模仿的结果。静态模型的结果表明没有显著的羊群效应。然而，数据序列中存在结构突变和非线性，表明应用静态模型是不合适的。因此，我们进行了滚动窗口分析，这些结果指向显着的羊群行为，这随着时间的推移而变化。使用逻辑回归，我们发现，羊群效应往往会发生的不确定性增加。我们的研究结果引发了与投资组合和风险管理、交易策略和市场效率相关的有用见解。
This study examines the presence of herding behaviour in the cryptocurrency market. The latter is the outcome of mass collaboration and imitation. Results from the static model suggest no significant herding. However, the presence of structural breaks and nonlinearities in the data series suggests applying a static model is not appropriate. Accordingly, we conduct a rolling-window analysis, and those results point to significant herding behaviour, which varies over time. Using a logistic regression, we find that herding tends to occur as uncertainty increases. Our findings induce useful insights related to portfolio and risk management, trading strategies, and market efficiency.