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- W3193445462 abstract "This paper investigates whether herding is present before and during the COVID-19 pandemic, analyzing intraday data of Bitcoin and eight altcoins. The herding intensity measure of Patterson and Sharma (2006) is calculated for the first time for cryptocurrency markets. Furthermore, we employed a novel Granger causality methodology with a Fourier approximation to determine the relationship between herding and volatility, considering the structural breaks. Our results indicate a significant herding behavior, concentrating during the COVID-19 outbreak. The causality test results show that herding has a significant effect on market volatility. Our results do not support the efficient market hypothesis." @default.
- W3193445462 created "2021-08-30" @default.
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- W3193445462 date "2022-05-01" @default.
- W3193445462 modified "2023-10-18" @default.
- W3193445462 title "Herding intensity and volatility in cryptocurrency markets during the COVID-19" @default.
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- W3193445462 doi "https://doi.org/10.1016/j.frl.2021.102382" @default.
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