HERD BEHAVIOR IN TERMS OF SOCIAL PSYCHOLOGY: THE EXAMPLE OF CRYPTO ASSET MARKETS

Year 2020, Volume: 12 Issue: 1, 79 - 90, 30.06.2020

Nükhet Hotar

https://doi.org/10.34111/ijebeg.202012106

Cited By: 8

Abstract

The four main causes of sudden price fluctuations in crypto asset markets are speculative news within the scope of global developments, positive market perceptions that increase the price, rising stock market values, and herd behavioral tendencies on crypto assets. The purpose of this study is to examine herd behavior trends in terms of social psychology, exemplified by the crypto asset market. In this framework, firstly, the daily yield pricing of twenty-two crypto assets with the highest transaction volume was examined in the period of August 2013 - December 2019, and then the trend of herd behavior of these assets on the market was investigated. Cross Sectional Absolute Deviation (CSAD) method was used to measure the herd behavior trend. The analysis revealed the presence of herd behavior trend in regime 1 and regime 3 models.

Keywords

Social Psychology, Herd Behavior, Crypto Asset, Cross Sectional Absolute Deviation (CSAD), Cryptocurrency

References

• Ağan, B., Aydın, Ü. (2019). “Global Movements of Crypto-Currencies: A Causality Analysis”, Journal of Applied Economics and Business Research, 9 (4), 1-12.
• Aydın, Ü. and Ağan, B. (2016). “Rasyonel Olmayan Kararların Finansal Yatırım Tercihleri Üzerindeki Etkisi: Davranışsal Finans Çerçevesinde Bir Uygulama”, The International Journal of Economic and Social Research, 12 (2), 95-112.
• Aydın, Ü., Kara, O. (2014), “Kriz Öncü Göstergeleri ve Markov Rejim Değişimi Tekniğiyle Ekonominin Konjonktürel Yapısının Analizi”, Finans Politik & Ekonomik Yorumlar Dergisi, 51 (592), 29-44.
• Banerjee, A. V. (1992). A Simple Model of Herd Behavior. The Quarterly Journal of Economics, 107 (3), 797-817.
• Bevan-Dye AL (2018). Relationship Between Generation Y Students’ Link Sharing Motives and Word-Of-Mouth Communication On Facebook. International Journal of eBusiness and eGovernment Studies, 10 (1), 1-17. Retrieved from https://dergipark.org.tr/tr/pub/ijebeg/issue/36107/405408
• Bikhchandani, S., Hirshleifer, D., Welch, I. (1992). A Theory of Fads, Fashion, Custom, and Cultural Change as Informational Cascades. The Journal of Political Economy, 100 (5), 992-1026.
• Bouri, E., Gupta, R., Roubaud, D. (2019). Herding behaviour in cryptocurrencies. Finance Research Letters, 29, 216-221. Doi: 10.1016/j.frl.2018.07.008.
• Chang, E. C., Cheng, J. W. and Khorana, A. (2000), An examination of herd behavior in equity markets: An international perspective, Journal of Banking & Finance, 24 (10), 1651-1679.
• Chang, S. G., Yu, B. S., and Fellow, M. V. (2000). Adaptive Wavelet Thresholding for Image Denoising and Compression, IEEE Transactions on Image Processıng, 9 (9), 1532-1546.
• Cheah, E.-T., Fry, J. (2015). Speculative bubbles in bitcoin markets? An empirical investigation into the fundamental value of bitcoin. Economy Letters. 130, 32–36.
• Chiang, T. and Zheng, D. (2010), An empirical analysis of herd behavior in global stock markets”, Journal of Banking & Finance, 34 (8), 1911-1921.
• Christie, W.G. and Huang, R. D. (1995). Following the Pied Piper: Do Individual Returns Herd around the Market?”, Financial Analysts Journal. July-August, 31-37.
• Corbet, S., Lucey, B., Yarovaya, L. (2018). Datestamping the Bitcoin and Ethereum Bubbles, Finance Research Letters, 26, 81-88.
• Demirer, R., Gubo, D. ve Kutan, A. M. (2007). An Analysis of Cross-Country Herd Behavior in Stock Markets: A Regional Perspective. Journal of International Financial Markets, Institutions and Money. 3. 123-142.
• Demirer, R., Kutan, A. M., Chen, C. D. (2010). “Do Investors Herd in emerging Stock Markets?: Evidence from the Taiwanese Market”, Journal of Economic Behavior & Organization. 76: 283-295.
• Devenow, A. and Welch, I. (1996). Rational Herding in Financial Economics, European Economic Review, 40, 603-615.
• Doğukanlı, H., Ergun, B. (2011). İMKB’de Suru Davranışı: Yatay Kesit Temelinde Bir Araştırma. 10. Ulusal İşletmecilik Kongresi Kitapcığı. 355-358.
• Fama, E. F. (1970). “Efficient Capital Markets: A Review of Theory and Emprical Works”, Journal of Finance, 25, 383-417.
• Gama Silva, P.V.C., Klotzle, M.C., Pinto, A. C. F., Gomes, L. L. (2019) Herding behavior and contagion in the cryptocurrency market. Journal of Behavioral and Experimental Finance, 22, 41-50.
• Gleason, K. C., Mathur, I., Peterson, M. A. (2004). Analysis of intraday herding behavior among the sector ETFs, Journal of Empirical Finance. 11, 681-694.
• Hirshleifer, D. A. and Teoh, S. H. (2002) Limited Attention, Information Disclosure, and Financial Reporting. JAE Boston Conference Available at SSRN: https://ssrn.com/abstract=334940 or http://dx.doi.org/10.2139/ssrn.334940.
• Hwang, S. and Salmon, M. (2004). “Market Stress and Herding”, Journal of Empirical Finance, 11, 585-616.
• Ji, Q., Bouric, E., Guptad, R., Roubaud, D. (2018). Network causality structures among Bitcoin and other financial assets: A directed acyclic graph approach, The Quarterly Review of Economics and Finance, 70, 203-213.
• Katsiampa, P. (2017) Volatility Estimation for Bitcoin: A Comparison of GARCH Models” Economics Letters, 158 (C) 3-6.
• Lakonishok, J., Shleifer, A. ve Vishny, R., W. (1992). The Impact of Institutional Trading on Stock Prices. Journal of Financial Economics. 32, 23-43.
• Platanakis, E., Sutcliffe, C., Urquhart, A. (2018). "Optimal vs naïve diversification in cryptocurrencies," Economics Letters,171(C), 93-96.
• Poyser, Obryan; (2018), "Herding behavior in Cryptocurrency Markets," Papers 1806.11348, arXiv.org, revised Nov 2018.
• Şanlısoy, S, Çiloğlu, T. (2019). An Investigation On the Crypto Currencies and Its Future. International Journal of eBusiness and eGovernment Studies, 11 (1), 69-88. Doi: 10.34111/ijebeg.20191115
• Urquhart, Andrew, (2017). Price Clustering in Bitcoin, 1-7, https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3001719,
• Vidal-Tomás, D., Ibañez, A. (2018), Semi-strong efficiency of Bitcoin. Finance Research Letters, 27, 259-265.
• Wei, W. C. (2018). The Impact of Tether Grants on Bitcoin, https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3175876.
• Wermers, Russ; (1995), Herding, Trade Reversals, and Cascading by Institutional Investors, unpublished; University of Colorado, Boulder.