Behavioural finance

: herding behaviour in the cryptocurrency market

Abstract

This thesis examines the presence and the intensity of herding behaviour in the cryptocurrency market. It approaches herding concept as a fundamental piece on explaining the price volatility observed in the cryptocurrency market. In that sense, analysis on eight major cryptocurrencies and CCi30 index from the period of 1st of January 2017 to 1st of January 2021 was employed through the application of the CSAD models of Chang et al. (2000) and Chiang and Zheng (2010) to detect herding and its intensity across asymmetrical periods. The results point to the existence of herding in the cryptocurrency market with a high degree of confidence. Additionally, herding was found to be more intense during upward market movements. With strong indications based on reviewed literature that investors herd intentionally based on the sentiment of the masses to not miss out on an opportunity during bullish market trends. This type of behaviour is inconsistent with the efficiency market theory that reigns in today’s financial system.

Date of Award	15 Jul 2021
Original language	English
Awarding Institution	Universidade Católica Portuguesa
Supervisor	Mário Ferreira (Supervisor)