COVID-19, Lockdowns and Herding Towards a Cryptocurrency Market-Specific Implied Volatility Index

17 Pages Posted: 7 Dec 2020 Last revised: 16 Jan 2021

See all articles by Ghulame Rubbaniy

Ghulame Rubbaniy

Zayed University - College of Business

Efstathios Polyzos

Zayed University

Syed Kumail Abbas Rizvi

Université Paris 1 (Panthéon-Sorbonne); Lahore School of Economics

Date Written: August 10, 2020

Abstract

This study investigates herd effects in 101 cryptocurrencies during the period from January 2015 to June 2020. The results confirm the existence of herding behavior in the cryptocurrency market for the entire sample and show that herding asymmetry is present during both bullish and bearish regimes. Herd investing is predominantly visible during extremely bullish conditions of the cryptocurrency market. Even though the study finds no evidence of correlated trading when cryptocurrency specific fear prevails in the market, crypto investors seem to mimic the trading decisions of others during the COVID-19 pandemic, outside the lockdown periods.

Keywords: COVID-19; Herding behavior; Cryptocurrencies; VCRIX; Market fear

JEL Classification: G12, G15

Suggested Citation

Rubbaniy, Ghulame and Polyzos, Efstathios and Rizvi, Syed Kumail Abbas and Rizvi, Syed Kumail Abbas, COVID-19, Lockdowns and Herding Towards a Cryptocurrency Market-Specific Implied Volatility Index (August 10, 2020). Available at SSRN: https://ssrn.com/abstract=3740575 or http://dx.doi.org/10.2139/ssrn.3740575

Ghulame Rubbaniy (Contact Author)

Zayed University - College of Business ( email )

Zayed University
P.O. Box 144534
Abu Dhabi
United Arab Emirates

Efstathios Polyzos

Zayed University ( email )

Zayed University
P.O. Box 144534
Abu Dhabi
United Arab Emirates

Syed Kumail Abbas Rizvi

Lahore School of Economics ( email )

Intersection Main Boulevard
Phase VI DHA and Burki Road
Burki, Lahore 54000
Pakistan

Université Paris 1 (Panthéon-Sorbonne) ( email )

Paris, IL

HOME PAGE: http://www.univ-paris1.fr/recherche/pages-enseignants-chercheurs/page/?uid=e0g411g00pb

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