Herding behaviour in cryptocurrencies
| dc.contributor.author | Bouri, Elie | |
| dc.contributor.author | Gupta, Rangan | |
| dc.contributor.author | Roubaud, David | |
| dc.contributor.email | rangan.gupta@up.ac.za | en_ZA |
| dc.date.accessioned | 2019-09-04T13:07:31Z | |
| dc.date.issued | 2019-06 | |
| dc.description.abstract | 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. | en_ZA |
| dc.description.department | Economics | en_ZA |
| dc.description.embargo | 2020-06-01 | |
| dc.description.librarian | hj2019 | en_ZA |
| dc.description.uri | http://www.elsevier.com/locate/frl | en_ZA |
| dc.identifier.citation | Bouri, E., Gupta, R. & Roubaud, D. 2019, 'Herding behaviour in cryptocurrencies', Finance Research Letters, vol. 29, pp. 216-221. | en_ZA |
| dc.identifier.issn | 1544-6123 (print) | |
| dc.identifier.issn | 1544-6131 (online) | |
| dc.identifier.other | 10.1016/j.frl.2018.07.008 | |
| dc.identifier.uri | http://hdl.handle.net/2263/71279 | |
| dc.language.iso | en | en_ZA |
| dc.publisher | Elsevier | en_ZA |
| dc.rights | © 2018 Elsevier Inc. All rights reserved. Notice : this is the author’s version of a work that was accepted for publication in Finance Research Letters. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. A definitive version was subsequently published in Finance Research Letters, vol. 29, pp. 216-221, 2019. doi : 10.1016/j.frl.2018.07.008. | en_ZA |
| dc.subject | Economic policy uncertainty | en_ZA |
| dc.subject | Bitcoin | en_ZA |
| dc.subject | Cryptocurrency market | en_ZA |
| dc.subject | Herding behaviour | en_ZA |
| dc.subject | Rolling window | en_ZA |
| dc.title | Herding behaviour in cryptocurrencies | en_ZA |
| dc.type | Postprint Article | en_ZA |