Herding behavior in conventional cryptocurrency market, non-fungible tokens, and DeFi assets
Herding behavior in conventional cryptocurrency market, non-fungible tokens, and DeFi assets
We examine the static and time-varying herding behavior in three cryptocurrency classes: ‘conventional’ cryptocurrencies, non-fungible tokens, and DeFi assets during the most recent cryptocurrency bubble of 2021. While static herding analysis failed to demonstrate any evidence of herding, the time-varying herding has been identified in conventional cryptocurrencies and DeFi assets for the short investment horizons. The herding asymmetry analysis reveals that herding is not evident in conventional cryptocurrencies and NFT during up/down market, high/low volatility days, and high/low trading days. We only find herding in DeFi assets during the low volatility days.
Cryptocurrencies, Cryptocurrency bubble, DeFi assets, NFT herding, Non-fungible tokens
Yousaf, Imran
4c6ebdab-7527-42b4-986b-94db0f2749e9
Yarovaya, Larisa
2bd189e8-3bad-48b0-9d09-5d96a4132889
December 2022
Yousaf, Imran
4c6ebdab-7527-42b4-986b-94db0f2749e9
Yarovaya, Larisa
2bd189e8-3bad-48b0-9d09-5d96a4132889
Yousaf, Imran and Yarovaya, Larisa
(2022)
Herding behavior in conventional cryptocurrency market, non-fungible tokens, and DeFi assets.
Finance Research Letters, 50, [103299].
(doi:10.1016/j.frl.2022.103299).
Abstract
We examine the static and time-varying herding behavior in three cryptocurrency classes: ‘conventional’ cryptocurrencies, non-fungible tokens, and DeFi assets during the most recent cryptocurrency bubble of 2021. While static herding analysis failed to demonstrate any evidence of herding, the time-varying herding has been identified in conventional cryptocurrencies and DeFi assets for the short investment horizons. The herding asymmetry analysis reveals that herding is not evident in conventional cryptocurrencies and NFT during up/down market, high/low volatility days, and high/low trading days. We only find herding in DeFi assets during the low volatility days.
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Accepted/In Press date: 31 August 2022
e-pub ahead of print date: 31 August 2022
Published date: December 2022
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© 2022 The Author(s)
Keywords:
Cryptocurrencies, Cryptocurrency bubble, DeFi assets, NFT herding, Non-fungible tokens
Identifiers
Local EPrints ID: 470441
URI: http://eprints.soton.ac.uk/id/eprint/470441
ISSN: 1544-6123
PURE UUID: 1c1054c3-e0b1-4cc0-8897-4c59af831d10
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Date deposited: 11 Oct 2022 16:32
Last modified: 17 Mar 2024 03:54
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Author:
Imran Yousaf
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