Accéder directement au contenu Accéder directement à la navigation
Nouvelle interface
Article dans une revue

The effects of a “black swan” event (COVID-19) on herding behavior in cryptocurrency markets

Abstract : This paper analyses herding in cryptocurrency markets in the time of the COVID-19 pandemic. We employ a combination of quantitative methods to hourly prices of the four most traded cryptocurrency markets - USD, EUR, JPY and KRW - for the period from 1st January 2019 to 13th March 2020. While there are several strong theoretical reasons to observe the “black swan” effect on cryptocurrency herding, our results suggest that COVID-19 does not amplify herding in cryptocurrency markets. In all markets studied, herding remains contingent on up or down markets days, but does not get stronger during the COVID-19. These results are important for cryptocurrency investors and regulators to enhance their understanding of cryptocurrency markets and the financial effects of the COVID-19 pandemic.
Type de document :
Article dans une revue
Liste complète des métadonnées

https://hal-rennes-sb.archives-ouvertes.fr/hal-03512931
Contributeur : Elise BOUVET Connectez-vous pour contacter le contributeur
Soumis le : mercredi 5 janvier 2022 - 15:58:24
Dernière modification le : samedi 6 août 2022 - 03:22:35

Lien texte intégral

Identifiants

Collections

Citation

Larisa Yarovaya, Roman Matkovskyy, Akanksha Jalan. The effects of a “black swan” event (COVID-19) on herding behavior in cryptocurrency markets. Journal of International Financial Markets, Institutions and Money, 2021, 75, pp.101321. ⟨10.1016/j.intfin.2021.101321⟩. ⟨hal-03512931⟩

Partager

Métriques

Consultations de la notice

22