Investigation of the intentional and spurious herding effects in the cryptocurrency market with global events

IF 2.9 3区经济学 Q1 ECONOMICS

Quarterly Review of Economics and Finance Pub Date : 2025-03-31 DOI:10.1016/j.qref.2025.101992

Natalia Alves Tavares , Paulo Vitor Jordão da Gama Silva , Marcelo Cabus Klotzle

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引用次数: 0

Abstract

The study aims to investigate the intentional and spurious herd effects in the cryptocurrency market, considering the most popular events globally, according to Google Trends, from 2018 to 2022. Although the study of herd behavior is explored in the cryptocurrency market, there has not yet been a distinction between these factors' typology and real-world events. We use 100 cryptocurrencies to analyze the Absolute Transversal Deviation (CSAD). As an innovative way, we estimated the regressions considering both Premium CSAD and CRIX CSAD for the herd periods and with events using the Zivot-Andrew test. We observe the occurrence of herd behavior, spurious (rational) and intentional (irrational), in the period of total analysis and the events, with a higher prevalence of the intentional effect. We noted that the CSAD Spurious Premium model was more significant for events before and after the structural break than the CSAD models using the CRIX index.

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利用全球事件调查加密货币市场的有意和虚假羊群效应

本研究旨在研究加密货币市场中有意的和虚假的羊群效应，考虑到根据谷歌趋势，从 2018 年到 2022 年全球最流行的事件。虽然在加密货币市场中探索了羊群行为的研究，但尚未区分这些因素的类型和现实世界中的事件。我们使用 100 种加密货币来分析绝对横向偏差（CSAD）。作为一种创新方法，我们使用 Zivot-Andrew 检验对羊群行为时期的 Premium CSAD 和 CRIX CSAD 以及事件进行了回归估计。我们观察到，在总体分析期间和事件中，出现了虚假（理性）和故意（非理性）的牛群行为，其中故意效应更为普遍。我们注意到，与使用 CRIX 指数的 CSAD 模型相比，CSAD 虚假溢价模型在结构断裂前后的事件中更为显著。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Quarterly Review of Economics and Finance ECONOMICS-

CiteScore

6.00

自引率

2.90%

发文量

118

期刊介绍： The Quarterly Review of Economics and Finance (QREF) attracts and publishes high quality manuscripts that cover topics in the areas of economics, financial economics and finance. The subject matter may be theoretical, empirical or policy related. Emphasis is placed on quality, originality, clear arguments, persuasive evidence, intelligent analysis and clear writing. At least one Special Issue is published per year. These issues have guest editors, are devoted to a single theme and the papers have well known authors. In addition we pride ourselves in being able to provide three to four article "Focus" sections in most of our issues.