Skip to main content

Herding and Feedback Trading in Cryptocurrency Markets

King, Timothy, Koutmos, Dimitrios (2021) Herding and Feedback Trading in Cryptocurrency Markets. Annals of Operations Research, . ISSN 0254-5330. E-ISSN 1572-9338. (doi:10.1007/s10479-020-03874-4) (KAR id:85372)

PDF Author's Accepted Manuscript
Language: English
Download (1MB) Preview
[thumbnail of King and Koutmos (accepted paper) - Herding and Feedback Trading in Cryptocurrency Markets.pdf]
Preview
This file may not be suitable for users of assistive technology.
Request an accessible format
Official URL
http://dx.doi.org/10.1007/s10479-020-03874-4

Abstract

This paper examines the extent to which herding and feedback trading behaviors drive price dynamics across nine major cryptocurrencies. Using sample price data from bitcoin, ethereum, XRP, bitcoin cash, EOS, litecoin, stellar, cardano and IOTA, respectively, we document heterogeneity in the types of feedback trading strategies investors utilize across markets. Whereas some cryptocurrency markets show evidence of herding, or, 'trend chasing', behaviors, in other markets we show evidence of contrarian-type behaviors. These findings are important because they elucidate upon, firstly, what forces drive cryptocurrency markets and, secondly, how this type of trading behavior affects autocorrelation patters for cryptocurrencies. Finally, and from our intertemporal asset pricing model, we shed new light on the observed nature of the risk-return tradeoffs for each of our sampled cryptocurrencies.

Item Type: Article
DOI/Identification number: 10.1007/s10479-020-03874-4
Uncontrolled keywords: Cryptocurrencies; feedback trading; herding behavior; risk-return tradeoff
Divisions: Divisions > Kent Business School - Division > Department of Accounting and Finance
Depositing User: Timothy King
Date Deposited: 08 Jan 2021 10:14 UTC
Last Modified: 13 Jan 2022 00:00 UTC
Resource URI: https://kar.kent.ac.uk/id/eprint/85372 (The current URI for this page, for reference purposes)
King, Timothy: https://orcid.org/0000-0002-7326-2162
  • Depositors only (login required):

Downloads

Downloads per month over past year