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Intraday herding and attention around the clock
Scharnowski, Stefan
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Shi, Yanghua
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Dokumenttyp:
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Präsentation auf Konferenz
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Erscheinungsjahr:
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2021
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Veranstaltungstitel:
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CRC 2021, The 4th Cryptocurrency Research Conference
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Veranstaltungsort:
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Online
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Veranstaltungsdatum:
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16.-17.09.2021
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Verwandte URLs:
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Sprache der Veröffentlichung:
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Englisch
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Einrichtung:
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Fakultät für Betriebswirtschaftslehre > ABWL u. Finanzierung (Theissen 2009-)
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Fachgebiet:
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330 Wirtschaft
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Abstract:
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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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