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Industry herding in crypto assets

Zhao, Y. ORCID:, Liu, N. and Li, W. (2022) Industry herding in crypto assets. International Review of Financial Analysis, 84. 102335. ISSN 1057-5219

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To link to this item DOI: 10.1016/j.irfa.2022.102335


The aim of this paper is to investigate if herd behaviour is present in crypto assets at industry level. Using price information extracted from between 29 April 2013 and 9 May 2022, we find evidence of herding and reverse herding in the crypto assets market. Concentrated periods of herding and reverse herding are particularly evident in the January 2020–April 2022 Covid period. At industry level, herding is more profound in large sectors with higher volatility. In smaller sectors where ventures are backed by ‘real assets’, very short periods of herding with marginal significance are detected. Reverse herding is present in all industries except Real Estate between June 2021 and May 2022, implying that strategies such as excessive ‘flight to quality’ or/and token picking are at play during the recent crypto crash. We also detect varying asymmetric herding at industry level. This paper further examines the factors that drive such industry herding and reverse herding in the crypto assets market, and our results show that industry concentration and investor sentiments contribute to the probability of herding/reverse herding. Our study provides further insights to the forces that drive the dispersion in crypto assets prices and contribute to the behavioural studies of the crypto market.

Item Type:Article
Divisions:Henley Business School > Real Estate and Planning
ID Code:107069


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