Herding Behavior and Liquidity in the Cryptocurrency Market

DOI10.1142/S0217595921400212MaRDI QIDQ5057293zbMATH OpenOpenAlexFDO

Authors Sonia Arsi, Khaled Guesmi, Elie Bouri

Publication date 16 December 2022

Published in Asia-Pacific Journal of Operational Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/s0217595921400212

zbMATH Keywords

liquidityherding behaviorbitcoincryptocurrencies

Mathematics Subject Classification ID

Actuarial science and mathematical finance (91G99)

Recommendations

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Cites work

• Cryptocurrency liquidity during extreme price movements: is there a problem with virtual money?
• Herding and feedback trading in cryptocurrency markets
• Return and volatility spillovers among cryptocurrencies
• Speculative bubbles in bitcoin markets? An empirical investigation into the fundamental value of bitcoin
• The Benefits of Diversification Between Bitcoin, Bonds, Equities and the US Dollar: A Matter of Portfolio Construction
• The cross-quantilogram: measuring quantile dependence and testing directional predictability between time series

Cited in

(10)

• COVID-19, lockdowns and herding towards a cryptocurrency market-specific implied volatility index
• The great crypto crash in September 2018: why did the cryptocurrency market collapse?
• Cryptocurrency liquidity during extreme price movements: is there a problem with virtual money?
• Cross-listings of blockchain-based tokens issued through initial coin offerings: do liquidity and specific cryptocurrency exchanges matter?
• Unveiling the relation between herding and liquidity with trader lead-lag networks
• Herding and feedback trading in cryptocurrency markets
• Price delay and market frictions in cryptocurrency markets
• Herding behavior from loss aversion effect in the stock exchange of Thailand
• Assessing the resiliency of investors against cryptocurrency market crashes through the leverage effect
• Investor attention and cryptocurrency market liquidity: a double-edged sword

Describes a project that uses

Uses Software

• quantilogram

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