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Herding intensity and volatility in cryptocurrency markets during the COVID-19
Pinar Evrim Mandaci1, Efe Caglar Cagli1
1Faculty of Business, Dokuz Eylul University, 35390, Buca, Izmir, Turkey.
Abstract:
This paper investigates whether herding is present before and during the COVID-19 pandemic, analyzing intraday data of Bitcoin and eight altcoins. The herding intensity measure of Patterson and Sharma (2006) is calculated for the first time for cryptocurrency markets. Furthermore, we employed a novel Granger causality methodology with a Fourier approximation to determine the relationship between herding and volatility, considering the structural breaks. Our results indicate a significant herding behavior, concentrating during the COVID-19 outbreak. The causality test results show that herding has a significant effect on market volatility. Our results do not support the efficient market hypothesis.
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