Affiliation:
1. SMVD University, Katra 182320, Jammu & Kashmir, India
Abstract
We test for herding in crypto-currency markets using the CSAD method of Chang et al. (2000). Daily returns of 6 major crypto-currencies and market index CCI30 for the period 07-08-2015 t0 18-01-2018 is used. Possibility of herding under up and down market and high and low volatility is tested. Herding is found under up and down market activity, indicating over-enthusiasm and over-reaction. Market volatility is found not to have any significant impact on herding behavior. Herding is found to be dependent upon the market activity rather than market volatility.
Publisher
World Scientific Pub Co Pte Lt
Subject
Economics and Econometrics,Finance,Business and International Management
Cited by
29 articles.
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