The witching week of herding on bitcoin exchanges

Blasco, N. (Universidad de Zaragoza) ; Corredor, P. ; Satrústegui, N.

Resumen: This 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.

Idioma: Inglés

DOI: 10.1186/s40854-021-00323-4

Año: 2022

Publicado en: Financial Innovation 8 (2022), 26 [18 pp.]
ISSN: 2199-4730

Factor impacto JCR: 8.4 (2022)

Categ. JCR: SOCIAL SCIENCES, MATHEMATICAL METHODS rank: 1 / 53 = 0.019 (2022) - Q1 - T1
Categ. JCR: BUSINESS, FINANCE rank: 3 / 111 = 0.027 (2022) - Q1 - T1

Factor impacto CITESCORE: 9.7 - Economics, Econometrics and Finance (Q1) - Business, Management and Accounting (Q1)

Factor impacto SCIMAGO: 1.171 - Management of Technology and Innovation (Q1) - Finance (Q1)

Financiación: info:eu-repo/grantAgreement/ES/DGA/S11-20R-CEMBE
Financiación: info:eu-repo/grantAgreement/ES/MCIN/PID2019-104304GB-I00
Financiación: info:eu-repo/grantAgreement/ES/MCINN/RTI2018-093483-B-I00

Tipo y forma: Article (Published version)

Área (Departamento): Área Economía Finan. y Contab. (Dpto. Contabilidad y Finanzas)