Herding behavior in conventional cryptocurrency market, non-fungible tokens, and DeFi assets.
Document Type
Article
Publication Date
12-1-2022
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.
Publication Title
Finance Research Letters
DOI
10.1016/j.frl.2022.103299
Recommended Citation
Yousaf, Imran and Yarovaya, Larisa, "Herding behavior in conventional cryptocurrency market, non-fungible tokens, and DeFi assets." (2022). Kean Publications. 500.
https://digitalcommons.kean.edu/keanpublications/500