Date of Award
8-2023
Degree Type
Doctoral Dissertation
Degree Name
Doctor of Business Administration (DBA)
Department
Jack Welch College of Business
Dissertation Supervisor
Dr. Lorán Chollete
Committee Member
Dr. Yaseen S. Alhaj Yaseen
Committee Member
Dr. Weijia Peng
Abstract
This paper examines herd behavior in the cryptocurrency market using data of the top 15 large cryptocurrencies and the CCi30 Index as a proxy for market return. The idea that investors mimic and follow the behavior of others in the cryptocurrency market rather than conducting their own research has received attention in the finance literature. The CSAD results in the static model detected herding but given the existence of structural breakdowns and nonlinearities in the data series, we opted to conduct a rolling window analysis. The results indicate strong herding behavior that fluctuates over time. Furthermore, results from the logistic regression reveals that herding develops as uncertainty increases. Our findings are consistent with earlier research on identifying herding behavior in cryptocurrencies. It is an attempt to shed light on portfolio and risk management, trading strategies, and market efficiency.
JEL Classification
C 22, G14, G15, G40
Recommended Citation
Mnif, A. (2023). Does herding behavior exist in the cryptocurrency market? Jack Welch College of Business & Technology dissertation, Sacred Heart University, Fairfield CT. Retrieved from https://digitalcommons.sacredheart.edu/wcob_theses/33/
Creative Commons License
This work is licensed under a Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License.
Comments
Submitted in partial fulfillment of the requirements for the degree of Doctor of Business Administration in Finance, Sacred Heart University, Jack Welch College of Business and Technology.