Article
Investors’ mood and herd investing: a quantile-on-quantile regression explanation from crypto market
Finance Research Letters
Document Type
Article
Publication Date
11-1-2021
Abstract
This study uses daily data of 382 cryptocurrencies and a quantile-on-quantile regression (QQR) framework developed by Sim and Zhou (2015), to establish a link between herding behavior and investors’ mood and provide support for mood-as-information hypothesis in the crypto market. The results of QQR analysis reveal that the effect of investors’ mood on herd investing behavior is asymmetric and regime specific with a (weaker)higher (anti)herding tendency towards sad(happy) quantiles of investors’ mood. The results provide support to the portfolio managers by documenting that investors’ mood can be used as a signal to monitor the possible speculative activities in crypto market.
DOI Link
10.1016/j.frl.2021.102585
Publisher
Elsevier
Disciplines
Keywords
- Cryptocurrencies,
- Herding behavior,
- Happiness index,
- Investors’ mood,
- Quantile-on-quantile regression
Scopus ID
85121103856
Indexed in Scopus
Yes
Open Access
No
https://doi.org/10.1016/j.frl.2021.102585
Citation Information
Ghulame Rubbaniy, Kienpin Tee, Perihan Iren and Sonia Abdennadher. "Investors’ mood and herd investing: a quantile-on-quantile regression explanation from crypto market" Finance Research Letters (2021) ISSN: <a href="https://v2.sherpa.ac.uk/id/publication/issn/1544-6123" target="_blank">1544-6123</a> Available at: http://works.bepress.com/perihan-iren/12/