Herding behaviour in cryptocurrency market: CSSD and CSAD analysis

Abstract

Cryptocurrencies get substantial attention of investors as recently created innovations. This chapter focuses on herding behaviour in the cryptocurrency market, considering CSSD and CSAD approaches for cryptocurrencies in the CCI 30 Index. The analysis focuses on the cryptocurrency index and cryptocurrencies, which have existed since the arbitrarily set starting date of the index. In addition to the CCI 30 Index, as a proxy for market, Bitcoin, Litecoin, Stellar, Monero, Dogecoin and Dash are used for empirical analysis. To the best of the author’s knowledge, the CCI 30 Index is used for the first time as a proxy for market return. Despite the growing literature on cryptocurrencies, there is still a gap in herding behaviour in the cryptocurrency market. Results indicate no evidence of herding behaviour in the cryptocurrency market in both CSSD and CSAD approaches. The findings of both approaches are in line with the findings of the previous literature regarding the herding behaviour in cryptocurrencies such as Bouri et al. (Financ Res Lett 29:216–221, 2018) and Vidal-Tomás et al. (Financ Res Lett doi: 10.1016/j. frl.2018.09.008, 2018).