The presence and development of herd behaviour in the cryptocurrency market
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Bachelor's thesis
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Authors
Date
2023
Department
Major/Subject
Mcode
Degree programme
Rahoitus
Language
en
Pages
21 + 6
Series
Abstract
This thesis analyzes the existence of herding in the cryptocurrency market during the timeframe of January 2018 to June 2023. I apply models based on the dispersion of returns, which measure herding in extreme market movements and in general market upturns and downturns. I find evidence of herding in smaller cryptocurrencies in their own downturns, and towards the 5 largest currencies during the upturns of said 5 currencies. Additionally, I find results suggesting all other cryptocurrencies are herding towards Bitcoin when Bitcoin is experiencing price growth. Lastly, the results provide partial evidence of increasing herd behavior in the smaller currencies of the cryptocur-rency market.Description
Thesis advisor
Lof, MatthijsKeywords
herding, cryptocurrencies, behavioral finance, investor behavior