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

The effects of a “black swan” event (COVID-19) on herding behavior in cryptocurrency markets
The effects of a “black swan” event (COVID-19) on herding behavior in cryptocurrency markets
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.
Bitcoin, COVID-19, Cryptocurrencies, black swan effect, herding
1042-4431
1-16
Yarovaya, Larisa
2bd189e8-3bad-48b0-9d09-5d96a4132889
Matkovskyy, Roman
14e03180-ad35-4db6-a9ff-81d62a4f6dc4
Jalan, Akanksha
09fcab2b-7074-47c3-94c3-e1060d7c4d41
Yarovaya, Larisa
2bd189e8-3bad-48b0-9d09-5d96a4132889
Matkovskyy, Roman
14e03180-ad35-4db6-a9ff-81d62a4f6dc4
Jalan, Akanksha
09fcab2b-7074-47c3-94c3-e1060d7c4d41

Yarovaya, Larisa, Matkovskyy, Roman and Jalan, Akanksha (2021) The effects of a “black swan” event (COVID-19) on herding behavior in cryptocurrency markets. Journal of International Financial Markets, Institutions and Money, 75, 1-16, [101321]. (doi:10.1016/j.intfin.2021.101321). (In Press)

Record type: Article

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.

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Accepted/In Press date: 27 February 2021
Keywords: Bitcoin, COVID-19, Cryptocurrencies, black swan effect, herding

Identifiers

Local EPrints ID: 447833
URI: http://eprints.soton.ac.uk/id/eprint/447833
ISSN: 1042-4431
PURE UUID: 6bf6a352-a616-44eb-8c92-c45a79cfdeb3
ORCID for Larisa Yarovaya: ORCID iD orcid.org/0000-0002-9638-2917

Catalogue record

Date deposited: 23 Mar 2021 17:40
Last modified: 28 Apr 2022 04:38

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Contributors

Author: Larisa Yarovaya ORCID iD
Author: Roman Matkovskyy
Author: Akanksha Jalan

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