Uncertainty and herding behavior: evidence from cryptocurrencies

Esra Alp Coskun, Chi Keung Marco Lau, Hakan Kahyaoglu

    Research output: Contribution to journalArticlepeer-review

    1 Citation (Scopus)


    The aim of this study is to examine the existence of herding behavior in the cryptocurrency market under uncertainty by employing cross-sectional absolute deviation (CSAD) of returns, ordinary least squares (OLS), generalized autoregressive conditional heteroscedasticity (GARCH) methods and Time-Varying Markov-Switching (TV-MS) model for both overall sample and sub-periods which was determined based on the results of Quandt-Andrews and Bai-Perron breakpoint tests. We utilized the daily data of the 14 leading cryptocurrencies in terms of closing price, market cap and transaction volume. We also used dummy variables to analyze whether or not an asymmetric behavior occurred during the “up and down” market periods. Our results for the overall sample refer to an anti-herding behavior in each model. However, the results of the TV-MS model for the 3rd sub-period (2/28/2017−1/16/2018) imply the existence of a herding behavior in the low volatility regime, an anti-herding behavior occurred during the high volatility regime and the effect of uncertainty was significant on the anti-herding behavior. Finally, our results suggest that there was no significant asymmetric behavior during the “up and down” market periods.

    Original languageEnglish
    Article number101284
    JournalResearch in International Business and Finance
    Early online date20 Jun 2020
    Publication statusE-pub ahead of print - 20 Jun 2020

    Bibliographical note

    Funding Information:
    The authors would like to thank the Editor and the referee for their comments that improved the paper.

    Publisher Copyright:
    © 2020 Elsevier B.V.

    Copyright 2020 Elsevier B.V., All rights reserved.


    Dive into the research topics of 'Uncertainty and herding behavior: evidence from cryptocurrencies'. Together they form a unique fingerprint.

    Cite this