000117165 001__ 117165 000117165 005__ 20240319080958.0 000117165 0247_ $$2doi$$a10.1186/s40854-021-00323-4 000117165 0248_ $$2sideral$$a128421 000117165 037__ $$aART-2022-128421 000117165 041__ $$aeng 000117165 100__ $$0(orcid)0000-0001-5629-7526$$aBlasco, N.$$uUniversidad de Zaragoza 000117165 245__ $$aThe witching week of herding on bitcoin exchanges 000117165 260__ $$c2022 000117165 5060_ $$aAccess copy available to the general public$$fUnrestricted 000117165 5203_ $$aThis paper analyses the herding behaviour among exchanges around the expiration of bitcoin futures traded on the Chicago Mercantile Exchange (CME). The database extends from December 2017 to October 2020, taking as a reference the main exchanges that trade bitcoin (Binance, Bitfinex, Bitstamp, Coinbase, itBit, Kraken, and Gemini) and using hourly closing prices and trading volumes in bitcoin and US dollars. Adapting the proposal of Chang, Cheng and Khorana (2000) (CCK) to test conditional herding, we obtain results that indicate that the herding effect is significant during the week before expiration. After expiration, the herding effect lasts for a few hours and disappears. Information overload originating, among other causes, from sophisticated investors’ strategies may generate this mimetic behaviour. The results show the relevance of intraday data applied to specific events such as expiration since the unconditional analysis shows, in general, anti-herding behaviour throughout the period of study. 000117165 536__ $$9info:eu-repo/grantAgreement/ES/MCINN/RTI2018-093483-B-I00$$9info:eu-repo/grantAgreement/ES/MCIN/PID2019-104304GB-I00$$9info:eu-repo/grantAgreement/ES/DGA/S11-20R-CEMBE 000117165 540__ $$9info:eu-repo/semantics/openAccess$$aby$$uhttp://creativecommons.org/licenses/by/3.0/es/ 000117165 590__ $$a8.4$$b2022 000117165 592__ $$a1.171$$b2022 000117165 591__ $$aSOCIAL SCIENCES, MATHEMATICAL METHODS$$b1 / 53 = 0.019$$c2022$$dQ1$$eT1 000117165 593__ $$aManagement of Technology and Innovation$$c2022$$dQ1 000117165 591__ $$aBUSINESS, FINANCE$$b3 / 111 = 0.027$$c2022$$dQ1$$eT1 000117165 593__ $$aFinance$$c2022$$dQ1 000117165 594__ $$a9.7$$b2022 000117165 655_4 $$ainfo:eu-repo/semantics/article$$vinfo:eu-repo/semantics/publishedVersion 000117165 700__ $$aCorredor, P. 000117165 700__ $$aSatrústegui, N. 000117165 7102_ $$14002$$2230$$aUniversidad de Zaragoza$$bDpto. Contabilidad y Finanzas$$cÁrea Economía Finan. y Contab. 000117165 773__ $$g8 (2022), 26 [18 pp.]$$tFinancial Innovation$$x2199-4730 000117165 8564_ $$s1458880$$uhttps://zaguan.unizar.es/record/117165/files/texto_completo.pdf$$yVersión publicada 000117165 8564_ $$s2012679$$uhttps://zaguan.unizar.es/record/117165/files/texto_completo.jpg?subformat=icon$$xicon$$yVersión publicada 000117165 909CO $$ooai:zaguan.unizar.es:117165$$particulos$$pdriver 000117165 951__ $$a2024-03-18-13:49:30 000117165 980__ $$aARTICLE