Intraday herding and attention around the clock


Scharnowski, Stefan ; Shi, Yanghua



Document Type: Conference presentation
Year of publication: 2022
Conference title: Behavioural Finance Working Group 15th Annual Conference
Location of the conference venue: London, UK
Date of the conference: 9.-10.06. 2022
Related URLs:
Publication language: English
Institution: Business School > ABWL u. Finanzierung (Theissen)
Subject: 330 Economics
Abstract: This paper analyzes return herding at the intraday level in the decentralized cryptocurrency market with its continuous, around the clock trading and dominance of retail investors. We first document substantial herding behavior that is stronger when market returns are positive. Herding is negatively related to both the level and cross-sectional dispersion of investor attention. Moreover, there are pronounced intraday variations: Market return herding exhibits similar patterns as attention and blockchain activity and is strongest during the overlap of hours when traders in major economic centers are likely awake.




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