ABSTRACT
This paper examines the evidence of herding in the revolutionary cryptocurrency market for the period from January 2017 to December 2020. The study employs quantile regression technique for investigating herd behaviour during market asymmetries of rising and falling returns, extreme market returns, high volatility, and the exogenous event of the COVID-19 pandemic. The results provide evidence of pronounced herding during the bull phase, extreme down-markets, and high volatility. These results indicate that herd hunch is prevalent in the cryptocurrency market as investors exhibit imitation while ignoring their own knowledge and beliefs. Also, the phenomenon is more vividly observed during the panic period of COVID-19.
ABSTRACT
This study investigates the behavioural bias of market-wide herding in the Indian equity market during the spread of COVID-19 pandemic. The study also examines the impact of market volatility and government response on herding during the sample period. We use the measure of cross-sectional absolute deviation and semi-parametric estimator of quantile regression for the period 1 January 2020 till 15 June 2020 for S&P CNX Nifty Index and its 50 constituent companies. The results obtained reveal significant herding in the Indian equity market that is aggravated by market volatility. Further, we find that the government response and control measures implemented are successful in reducing herd behaviour. The research calls for better information disclosure guidelines to promote market efficiency. We further suggest that during exogenous events, investors need to realign their portfolios and formulate trading strategies for better risk-return management. © 2021 Association of Asia Scholars.