Herding Behavior and Crypto Currency Market in the Context of Health and Geopolitical Crises COVID-19 Pandemic, Russo-Ukrainian War and Palestine–Israel Conflict
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摘要
This study analyses the impact of the COVID-19 pandemic, the Russian-Ukrainian war and and the Palestine–Israel conflict on the presence of herding in the USD crypto currency market for two distinct sub-periods (bearish regime and bullish regime). To do this, we will examine the daily closing prices of the 7 main largest cryptocurrencies, including Bitcoin, Ethereum, Binance coin, Cardano, XRP, Tether USD, and Dogecoin. These crypto currencies are selected based on rank and market capitalization from January 1, 2018 to December 31, 2023. This research uses the CUSUM test proposed by Ploberger and Kramer (1992) to detect structural breaks and to divide the sample into sub-periods. Then, we test for herding behavior using a cross-sectional absolute deviation (CSAD) model. Our results show that COVID-19 and geopolitical events do not increase herding behavior in cryptocurrency markets during the study period.
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参考
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