Speculative bubbles and herding in cryptocurrencies
No Thumbnail Available
Date
2022
Authors
Journal Title
Journal ISSN
Volume Title
Publisher
Springer
Access Rights
info:eu-repo/semantics/openAccess
Abstract
This study investigates speculative bubbles in the cryptocurrency market and factors affecting bubbles during the COVID-19 pandemic. Our results indicate that each cryptocurrency covered in the study presented bubbles. Moreover, we found that explosive behavior in one currency leads to explosivity in other cryptocurrencies. During the pandemic, herd behavior was evident among investors; however, this diminishes during bubbles, indicating that bubbles are not explained by herd behavior. Regarding cryptocurrency and market-specific factors, we found that Google Trends and volume are positively associated with predicting speculative bubbles in time-series and panel probit regressions. Hence, investors should exercise caution when investing in cryptocurrencies and follow both crypto currency and market-related factors to estimate bubbles. Alternative liquidity, volatility, and Google Trends measures are used for robustness analysis and yield similar results. Overall, our results suggest that bubble behavior is common in the cryptocurrency market, contradicting the efficient market hypothesis.
Description
Keywords
Cryptocurrency, Bubbles, Co-explosivity, Herding, COVID-19 pandemic
Journal or Series
Financial Innovation
WoS Q Value
Q1
Scopus Q Value
Q1
Volume
8
Issue
1
