Reassessing herding in cryptocurrency markets

IF 7.4 2区经济学 Q1 BUSINESS, FINANCE

Finance Research Letters Pub Date : 2025-07-07 DOI:10.1016/j.frl.2025.107915

Christine Jeanneaux , Elise Alfieri , Radu Burlacu , Sonia Jimenez Garces

引用次数: 0

Abstract

The present study aims to evaluate the efficacy of existing models in detecting herding behaviors in cryptocurrency markets. The extant literature has employed various methods to assess the presence of herding behavior, mobilizing variables such as the cross-sectional dispersion of returns and the cross-sectional dispersion of assets' sensitivities to the market (beta herding). However, these detection models may not exclusively detect herding behaviors. They may also identify rational reactions to the arrival of new information or changes in investors' risk-aversion. To test this proposition, we incorporate factors accounting for new information arrival and time-varying investors' risk-aversion in classical herding models. Our results do not provide support for the presence of herding behaviors in cryptocurrency markets; rather, they underscore the significant impact of informational and risk aversion factors in explaining the cross-sectional deviation of returns.

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重新评估加密货币市场的羊群效应

本研究旨在评估现有模型在检测加密货币市场中的羊群行为方面的有效性。现有文献采用了各种方法来评估羊群行为的存在，调动了诸如收益的横截面分散和资产对市场敏感性的横截面分散（贝塔羊群）等变量。然而，这些检测模型可能不会只检测羊群行为。它们还可以识别对新信息到来或投资者风险厌恶情绪变化的理性反应。为了验证这一命题，我们在经典羊群模型中纳入了考虑新信息到达和时变投资者风险厌恶的因素。我们的研究结果并不支持加密货币市场中存在羊群行为；相反，它们强调了信息和风险规避因素在解释收益横截面偏差方面的重要影响。

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

Finance Research Letters BUSINESS, FINANCE-

CiteScore

11.10

自引率

14.40%

发文量

863

期刊介绍： Finance Research Letters welcomes submissions across all areas of finance, aiming for rapid publication of significant new findings. The journal particularly encourages papers that provide insight into the replicability of established results, examine the cross-national applicability of previous findings, challenge existing methodologies, or demonstrate methodological contingencies. Papers are invited in the following areas: Actuarial studies Alternative investments Asset Pricing Bankruptcy and liquidation Banks and other Depository Institutions Behavioral and experimental finance Bibliometric and Scientometric studies of finance Capital budgeting and corporate investment Capital markets and accounting Capital structure and payout policy Commodities Contagion, crises and interdependence Corporate governance Credit and fixed income markets and instruments Derivatives Emerging markets Energy Finance and Energy Markets Financial Econometrics Financial History Financial intermediation and money markets Financial markets and marketplaces Financial Mathematics and Econophysics Financial Regulation and Law Forecasting Frontier market studies International Finance Market efficiency, event studies Mergers, acquisitions and the market for corporate control Micro Finance Institutions Microstructure Non-bank Financial Institutions Personal Finance Portfolio choice and investing Real estate finance and investing Risk SME, Family and Entrepreneurial Finance