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Cryptocurrency market: herd behavior during the COVID-19 pandemic
(2021) Skouteri, Miranda; Σκουτέρη, Μιράντα; Kavousanos, Emmanuel G.; Georgoutsos, Dimitrios; Athens University of Economics and Business, Department of Accounting and Finance; Drakos, Konstantinos
Τhis thesis investigates whether the COVID-19 pandemic impacted the cryptocurrency market in regard to herding behavior. The global pandemic is an unprecedented event for the decade-old cryptocurrency market and investigating its financial effects is of great interest and importance for investors and market participants. By utilizing daily data for 20 leading cryptocurrencies from July 2018 to July 2021, we explore herding through static and dynamic methodologies, as well as quantile regression. We find that cryptocurrency market participants abandon their own beliefs and follow the market consensus during the outbreak of COVID-19. However, after the first shock of the pandemic passed, cryptocurrency prices skyrocketed and significant antiherding behavior prevailed in the market. Herding also behaves asymmetrically; during down market movements investors exhibit herd behavior whereas in periods of extremely positive market returns the phenomenon of antiherding is present. Quantile regression estimates show that herding persists in quantiles at and below the median level because they indicate times of instability and uncertainty. Moreover, it was attempted to establish a connection between cryptocurrencies and financial markets in terms of herding but no supporting evidence was indicated. Irrational phenomena as such have serious implications for market participants and policy makers, ranging from insufficient portfolio diversification to additional systematic risk and market inefficiency.