The DOI matches its Crossref record; 25 of the 25 references it cites were found in a registry or an index.
Herding behaviour in cryptocurrencies
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.
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Citations
Cites
1 retracted
RETRACTED: Datestamping the Bitcoin and Ethereum bubbles
Corbet, S., Lucey, B., & Yarovaya, L. (2018) · Finance Research Letters · doi:10.1016/j.frl.2017.12.006 · Cited by 638
RetractedMeasuring Economic Policy Uncertainty*
Baker, S. R., Bloom, N., & Davis, S. J. (2016) · The Quarterly Journal of Economics · doi:10.1093/qje/qjw024 · Cited by 12,458
Computation and analysis of multiple structural change models
Bai, J., & Perron, P. (2003) · Journal of Applied Econometrics · doi:10.1002/jae.659 · Cited by 5,771
A test for independence based on the correlation dimension
Broock, W. A., Scheinkman, J. A., Dechert, W. D., & LeBaron, B. (1996) · Econometric Reviews · doi:10.1080/07474939608800353 · Cited by 3,506
Bitcoin: Medium of exchange or speculative assets?
Baur, D. G., Hong, K., & Lee, A. D. (2018) · Journal of International Financial Markets, Institutions and Money · doi:10.1016/j.intfin.2017.12.004 · Cited by 1,449
On the hedge and safe haven properties of Bitcoin: Is it really more than a diversifier?
Bouri, E., Molnár, P., Azzi, G., Roubaud, D., & Hagfors, L. I. (2017) · Finance Research Letters · doi:10.1016/j.frl.2016.09.025 · Cited by 1,432
Self-citationCheah, E.-T., & Fry, J. (2015) · Economics Letters · doi:10.1016/j.econlet.2015.02.029 · Cited by 1,383
Exploring the dynamic relationships between cryptocurrencies and other financial assets
Corbet, S., Meegan, A., Larkin, C., Lucey, B., & Yarovaya, L. (2018) · Economics Letters · doi:10.1016/j.econlet.2018.01.004 · Cited by 1,335
Rational herding in financial economics
Devenow, A., & Welch, I. (1996) · European Economic Review · doi:10.1016/0014-2921(95)00073-9 · Cited by 1,263
Following the Pied Piper: Do Individual Returns Herd around the Market?
Christie, W. G., & Huang, R. D. (1995) · Financial Analysts Journal · doi:10.2469/faj.v51.n4.1918 · Cited by 1,163
Cited by
RETRACTED: Cryptocurrencies as a financial asset: A systematic analysis
Corbet, S., Lucey, B., Urquhart, A., & Yarovaya, L. (2019) · International Review of Financial Analysis · doi:10.1016/j.irfa.2018.09.003 · Cited by 1,172
RetractedDynamic connectedness and integration in cryptocurrency markets
Ji, Q., Bouri, E., Lau, C. K. M., & Roubaud, D. (2019) · International Review of Financial Analysis · doi:10.1016/j.irfa.2018.12.002 · Cited by 624
Self-citationVolatility connectedness in the cryptocurrency market: Is Bitcoin a dominant cryptocurrency?
Yi, S., Xu, Z., & Wang, G.-J. (2018) · International Review of Financial Analysis · doi:10.1016/j.irfa.2018.08.012 · Cited by 434
Bubbles in Bitcoin and Ethereum: The role of halving in the formation of super cycles
M'bakob, G. B. (2024) · Sustainable Futures · doi:10.1016/j.sftr.2024.100178 · Cited by 20
Metadata
- Authors
- Bouri, E., Gupta, R., & Roubaud, D.
- Venue
- Finance Research Letters
- Publisher
- Elsevier BV
- Published
- 2019-06
- Volume
- 29
- Pages
- 216-221
- ISSN
- 1544-6123 (ISSN-L)
- OpenAlex
- W2883143933
- Cited by
- 531
- References
- 25
- FWCI
- 49.52
- Type
- journal article
- Language
- en
- Open access
- closed
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Data sources
Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
