Research Article
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HERD BEHAVIOR IN CRYPTO CURRENCY MARKET: ANALYSIS OF HERDING TOWARDS THE MARKET IN COINS AND TOKENS

Year 2024, Volume: 19 Issue: 61, 123 - 145, 26.01.2024

Aylin Hancı Erdinç Altay

https://doi.org/10.14783/maruoneri.1414561

Abstract

In this study, the existence of herd behavior in cryptocurrency markets was analyzed by implementing the methods of Chang, Cheng, and Khorana (2000) and Hwang and Salmon (2004). The first 200 cryptocurrencies with the highest market value as of 1st January 2023 on the Coinmarketcap (2023) website were included in the analysis for sample period of 1st January 2019 to 31st December 2022. Cryptocurrencies were analyzed in two groups as tokens and coins. To analyze the herding behavior towards the market in these two types of cryptocurrency markets, S&P Bitcoin Index, S&P Cryptocurrency Broad Digital Market Index, S&P Cryptocurrency Mega Cap Index, and The Royalton Crix Index were used as market indicators. In this study, unlike other studies in the literature, herd behavior was examined comparatively in coin and token markets. The findings indicate that there is a general herd behavior in coins as well as tokens, but the relationship with market returns is non-linear. In addition results show that there are differences in the periods of herd behavior in coins and tokens.

Keywords

Cryptocurrencies Herd behavior Behavioral Finance

References

  • Afşar, K. E., Akseki, U., & Kisava, Z. S. (2022). Herding Behaviour İn Emerging Markets: Evidence From Bist. Sosyal Bilimler Metinleri, 2022(1), 16-26.
  • Ajaz, T., & Kumar, A. S. (2018). Herding in crypto-currency markets. Annals of Financial Economics, 13(02), 1850006.
  • Akkuş, H. T., Çelik, İ., & Karakaya, T. (2023). Kripto Para Piyasalarında Sürü Davranışlarının Analizi: En Büyük Kripto Para Birimlerinden Yeni Kanıtlar. Finans Ekonomi Ve Sosyal Araştırmalar Dergisi, 8(1), 107-120.
  • Altay, E. (2008). Sermaye piyasasında sürü davranışı: İMKB'de piyasa yönünde sürü davranışının analizi. BDDK Bankacılık ve Finansal Piyasalar Dergisi, 2(1), 27-58.
  • Amirat, A., & Alwafi, W. (2020). Does herding behavior exist in cryptocurrency market?. Cogent Economics& Finance, 8(1), 1735680.
  • Arzova, S. B., & Özdurak, C. (2021). Optimal Cryptocurrency and BIST 30 Portfolios with the Perspective of Markowitz Portfolio Theory. J. Financ. Econ, 9, 146-154.
  • Ballis, A., & Drakos, K. (2020). Testing for herding in the cryptocurrency market. Finance Research Letters, 33, 101210.
  • Bashir, H. A., Kumar, D., & Shiljas, K. (2021). Investor Attention and Herding in The Cryptocurrency Market during the Covid-19 Pandemic. Applied Finance Letters, 10, 67-77.
  • Banerjee, A. (1992). A Simple Model for Herd Behavior, Quarterly Journal of Economics,107, 797-817.
  • Bikhchandani, S., Hirshleifer, D. & Welch, I. (1992). A Theory of Fads, Fashion, Custom and Cultural Change as Informational Cascades, Journal of Political Economy, 100, 992-1026.
  • Bouri, E., Gupta, R., & Roubaud, D. (2019). Herding behaviour in cryptocurrencies. Finance Research Letters, 29, 216-221.
  • Chang, E. C., Cheng, J. W., & Khorana, A. (2000). An examination of herd behavior in equity markets: An international perspective. Journal of Banking & Finance, 24(10), 1651-1679.
  • Christie, W. G., & Huang, R. D. (1995). Following the pied piper: do individual returns herd around the market?. Financial Analysts Journal, 31-37.
  • Calderón, O. P. (2018). Herding behavior in cryptocurrency markets. arXivpreprint arXiv:1806.11348.
  • Caparrelli, F., D'Arcangelis, A. M., & Cassuto, A. (2004). Herding in the Italian stock market: a case of behavioral finance. The Journal of Behavioral Finance, 5(4), 222-230.
  • Coskun, E. A., Lau, C. K. M., & Kahyaoglu, H. (2020). Uncertainty and herding behavior: evidence from cryptocurrencies. Research in International Business and Finance, 54, 101284.
  • Caymaz G. (2022). Kripto Paralar. 23 Aralık 2023 tarihinde https://tr.investing.com/analysis/2022ye-damga-vuran-kripto-olaylar-ve-2023-beklentileri-200490441 adresinden alındı.
  • Coinmarketcap (2023), 1 Ocak 203 tarihinde https://coinmarketcap.com/ adresinden coin ve token fiyatları alındı.
  • Coinmarketcap (2023), 18 Aralık 2023 tarihinde https://coinmarketcap.com/charts/ adresinden kripto para piyasa değerleri alındı.
  • Döm, S. (2003). Yatırımcı Psikolojisi. İstanbul: Değişim Yayınları.
  • Gębka, B., & Wohar, M. E. (2013). International herding: Does it differ a cross sectors?. Journal of International Financial Markets, Institutions and Money, 23, 55-84.
  • Gyamerah, S. A. (2021). Covid-19 Pandemic and Herding Behaviour in Cryptocurrency Market. Applied Finance Letters, 10, 58-66.
  • Hwang, S., Rubesam, A., & Salmon, M. (2018). Overconfidence, sentiment and beta herding: A behavioral explanation of the low-beta anomaly. SSRN Electronic Journal, 82(0), 1-60.
  • Hwang, S., & Salmon, M. H. (2001). A new measure of herding and empirical evidence, Financial Econometrics Research Centre working Paper No: WP01-12, https://wrap.warwick.ac.uk/1816/1/WRAP_Hwang_fwp01-12.pdf.
  • Hwang, S., & Salmon, M. (2004). Market stres and herding. Journal of Empirical Finance, 11(4), 585-616.
  • Jalal, R.N.U.D., Sargiacomo, M., Sahar, N.U., & Fayyaz, U.E. (2020). Herding behavior and cryptocurrency: Market asymmetries, inter-dependency and intra-dependency. The Journal of Asian Finance, Economicsand Business, 7(7), 27-34.
  • Kahneman, D., & Tversky, A. (1979). Prospect Theory: An Analysis of Decision under Risk. Econometrica, 47(2), 263–291. https://doi.org/10.2307/1914185
  • Kaiser, L., & Stöckl, S. (2020). Cryptocurrencies: Herding and the transfer currency. Finance Research Letters, 33, 101214.
  • Kallinterakis, V., & Wang, Y. (2019). Do investors herd in cryptocurrencies–and why?. Research in International Business and Finance, 50, 240-245.
  • Kumar, A. (2021). Empirical investigation of herding in cryptocurrency market under different market regimes. Review of Behavioral Finance, 13(3), 297-308.
  • Kyriazis, N. A. (2020). Herding behaviour in digital currency markets: An integrated survey and empirical estimation. Heliyon, 6(8).
  • Mandacı, P. E., & Çağlı, E. C. (2022). Herding intensity and volatility in cryptocurrency markets during the COVID-19. Finance Research Letters, 46, 102382.
  • Morris, S. ve Shin, H.S. (1999). Risk Management with Interdepedent Choice, Oxford Review of Economic Policy, 15 (3), 52-62.
  • Omane-Adjepong, M., Paul Alagidede, I., Lyimo, A. G., & Tweneboah, G. (2021). Herding behaviour in cryptocurrency and emerging financial markets. Cogent Economics & Finance, 9(1), 1933681.
  • Persaud, A. (2000). Sending the Herd off the Cliff Edge: The Disturbing Interaction between Herding and Market-Sensitive Risk Management Practices, in Jacques de Larosiere Essays on Global Finance, Washington: Institute of International Finance.
  • Philippas, D., Philippas, N., Tziogkidis, P., & Rjiba, H. (2020). Signal-herding in cryptocurrencies. Journal of International Financial Markets, Institutions and Money, 65, 101191.
  • Raimundo Júnior, G. D. S., Palazzi, R. B., Tavares, R. D. S., & Klotzle, M. C. (2022). Market stress and herding: a new approach to the cryptocurrency market. Journal of Behavioral Finance, 23(1), 43-57.
  • Senarathne, C. W., & Jianguo, W. (2020). Herd behaviour in the cryptocurrency market: Fundamental vs. spurious herding. The European Journal of Applied Economics, 17(1), 20-36.
  • da Gama Silva, P. V. J., Klotzle, M. C., Pinto, A. C. F., & Gomes, L. L. (2019). Herding behavior and contagion in the cryptocurrency market. Journal of Behavioral and Experimental Finance, 22, 41-50.
  • S&P Global (2023), 1 Ocak 2023 tarihinde https://www.spglobal.com/en/ adresinden kripto parayla ilgili endeksler alındı.
  • Shiller, R.J. (1990). Investor Behavior in the October 1987 Stock Market Crash: Survey Evidence, in Market Volatility, Cambridge: Massachusetts: MIT Press.
  • Stavroyiannis, S., & Babalos, V. (2019). Herding behavior in cryptocurrencies revisited: Novel evidence from a TVP model. Journal of Behavioral and Experimental Finance, 22, 57-63.
  • Vidal-Tomás, D., Ibáñez, A. M., & Farinós, J. E. (2019). Herding in the cryptocurrency market: CSSD and CSAD approaches. Finance Research Letters, 30, 181-186.
  • Welch, I. (1992). Sequental Sales, Learning and Cascades, Journal of Finance, 47, 695-732.
  • Yağcılar, G. G., & Arslan, Z. Kripto Varlık Piyasasında Sürü Davranışı: Yatırımcı Elon Musk’ı İzler Mi?. Mehmet Akif Ersoy Üniversitesi Uygulamalı Bilimler Dergisi, 7(2), 132-148.
  • Yousaf, I., & Yarovaya, L. (2022). Herding behavior in conventional cryptocurrency market, non-fungible tokens, and DeFi assets. Finance Research Letters, 50, 103299.
  • Youssef, M. (2022). What drives herding behavior in the cryptocurrency market?. Journal of Behavioral Finance, 23(2), 230-239.

KRİPTO PARA PİYASASINDA SÜRÜ DAVRANIŞI: COINLERDE VE TOKENLARDA PİYASA YÖNÜNDE SÜRÜ DAVRANIŞININ ANALİZİ

Year 2024, Volume: 19 Issue: 61, 123 - 145, 26.01.2024

Aylin Hancı Erdinç Altay

https://doi.org/10.14783/maruoneri.1414561

Abstract

Çalışmada Chang, Cheng ve Khorana (2000) ve Hwang ve Salmon’un (2004) yöntemleri kullanılarak kripto para piyasalarında sürü davranışının varlığı analiz edilmiştir. Coinmarketcap (2023) sitesi üzerinde 01.01.2023 tarihi itibarıyla piyasa değeri en yüksek ilk 200 kripto para 01.01.2019-31.12.2022 döneminde örnekleme dahil edilmiş ve kripto paralar token ve coin olarak iki grupta analiz edilmiştir. Piyasa yönünde sürü davranışının bu iki tür kripto para piyasasında analiz edilmesi için S&P Bitcoin Index, S&P Cryptocurrency Broad Digital Market Index, S&P Cryptocurrency Mega Cap Index ile The Royalton Crix Index piyasa göstergeleri olarak kullanılmıştır. Bu çalışmada literatürdeki diğer çalışmalardan farklı olarak sürü davranışı kripto paralarda coinlerde ve tokenlarda karşılaştırmalı olarak incelenmiştir. Elde edilen bulgular, coin ve tokenlarda genel olarak sürü davranışının bulunduğu ancak piyasa getirileriyle ilişkisinin doğrusal olmayan bir yapıda olduğu yönündedir. Ayrıca coinlerde ve tokenlarda sürü davranışının ortaya çıktığı ve ortadan kaybolduğu dönemlerde farklılıklar bulunduğuna dair sonuçlar elde edilmiştir.

Keywords

Kripto paralar Sürü davranışı Davranışsal Finans

References

  • Afşar, K. E., Akseki, U., & Kisava, Z. S. (2022). Herding Behaviour İn Emerging Markets: Evidence From Bist. Sosyal Bilimler Metinleri, 2022(1), 16-26.
  • Ajaz, T., & Kumar, A. S. (2018). Herding in crypto-currency markets. Annals of Financial Economics, 13(02), 1850006.
  • Akkuş, H. T., Çelik, İ., & Karakaya, T. (2023). Kripto Para Piyasalarında Sürü Davranışlarının Analizi: En Büyük Kripto Para Birimlerinden Yeni Kanıtlar. Finans Ekonomi Ve Sosyal Araştırmalar Dergisi, 8(1), 107-120.
  • Altay, E. (2008). Sermaye piyasasında sürü davranışı: İMKB'de piyasa yönünde sürü davranışının analizi. BDDK Bankacılık ve Finansal Piyasalar Dergisi, 2(1), 27-58.
  • Amirat, A., & Alwafi, W. (2020). Does herding behavior exist in cryptocurrency market?. Cogent Economics& Finance, 8(1), 1735680.
  • Arzova, S. B., & Özdurak, C. (2021). Optimal Cryptocurrency and BIST 30 Portfolios with the Perspective of Markowitz Portfolio Theory. J. Financ. Econ, 9, 146-154.
  • Ballis, A., & Drakos, K. (2020). Testing for herding in the cryptocurrency market. Finance Research Letters, 33, 101210.
  • Bashir, H. A., Kumar, D., & Shiljas, K. (2021). Investor Attention and Herding in The Cryptocurrency Market during the Covid-19 Pandemic. Applied Finance Letters, 10, 67-77.
  • Banerjee, A. (1992). A Simple Model for Herd Behavior, Quarterly Journal of Economics,107, 797-817.
  • Bikhchandani, S., Hirshleifer, D. & Welch, I. (1992). A Theory of Fads, Fashion, Custom and Cultural Change as Informational Cascades, Journal of Political Economy, 100, 992-1026.
  • Bouri, E., Gupta, R., & Roubaud, D. (2019). Herding behaviour in cryptocurrencies. Finance Research Letters, 29, 216-221.
  • Chang, E. C., Cheng, J. W., & Khorana, A. (2000). An examination of herd behavior in equity markets: An international perspective. Journal of Banking & Finance, 24(10), 1651-1679.
  • Christie, W. G., & Huang, R. D. (1995). Following the pied piper: do individual returns herd around the market?. Financial Analysts Journal, 31-37.
  • Calderón, O. P. (2018). Herding behavior in cryptocurrency markets. arXivpreprint arXiv:1806.11348.
  • Caparrelli, F., D'Arcangelis, A. M., & Cassuto, A. (2004). Herding in the Italian stock market: a case of behavioral finance. The Journal of Behavioral Finance, 5(4), 222-230.
  • Coskun, E. A., Lau, C. K. M., & Kahyaoglu, H. (2020). Uncertainty and herding behavior: evidence from cryptocurrencies. Research in International Business and Finance, 54, 101284.
  • Caymaz G. (2022). Kripto Paralar. 23 Aralık 2023 tarihinde https://tr.investing.com/analysis/2022ye-damga-vuran-kripto-olaylar-ve-2023-beklentileri-200490441 adresinden alındı.
  • Coinmarketcap (2023), 1 Ocak 203 tarihinde https://coinmarketcap.com/ adresinden coin ve token fiyatları alındı.
  • Coinmarketcap (2023), 18 Aralık 2023 tarihinde https://coinmarketcap.com/charts/ adresinden kripto para piyasa değerleri alındı.
  • Döm, S. (2003). Yatırımcı Psikolojisi. İstanbul: Değişim Yayınları.
  • Gębka, B., & Wohar, M. E. (2013). International herding: Does it differ a cross sectors?. Journal of International Financial Markets, Institutions and Money, 23, 55-84.
  • Gyamerah, S. A. (2021). Covid-19 Pandemic and Herding Behaviour in Cryptocurrency Market. Applied Finance Letters, 10, 58-66.
  • Hwang, S., Rubesam, A., & Salmon, M. (2018). Overconfidence, sentiment and beta herding: A behavioral explanation of the low-beta anomaly. SSRN Electronic Journal, 82(0), 1-60.
  • Hwang, S., & Salmon, M. H. (2001). A new measure of herding and empirical evidence, Financial Econometrics Research Centre working Paper No: WP01-12, https://wrap.warwick.ac.uk/1816/1/WRAP_Hwang_fwp01-12.pdf.
  • Hwang, S., & Salmon, M. (2004). Market stres and herding. Journal of Empirical Finance, 11(4), 585-616.
  • Jalal, R.N.U.D., Sargiacomo, M., Sahar, N.U., & Fayyaz, U.E. (2020). Herding behavior and cryptocurrency: Market asymmetries, inter-dependency and intra-dependency. The Journal of Asian Finance, Economicsand Business, 7(7), 27-34.
  • Kahneman, D., & Tversky, A. (1979). Prospect Theory: An Analysis of Decision under Risk. Econometrica, 47(2), 263–291. https://doi.org/10.2307/1914185
  • Kaiser, L., & Stöckl, S. (2020). Cryptocurrencies: Herding and the transfer currency. Finance Research Letters, 33, 101214.
  • Kallinterakis, V., & Wang, Y. (2019). Do investors herd in cryptocurrencies–and why?. Research in International Business and Finance, 50, 240-245.
  • Kumar, A. (2021). Empirical investigation of herding in cryptocurrency market under different market regimes. Review of Behavioral Finance, 13(3), 297-308.
  • Kyriazis, N. A. (2020). Herding behaviour in digital currency markets: An integrated survey and empirical estimation. Heliyon, 6(8).
  • Mandacı, P. E., & Çağlı, E. C. (2022). Herding intensity and volatility in cryptocurrency markets during the COVID-19. Finance Research Letters, 46, 102382.
  • Morris, S. ve Shin, H.S. (1999). Risk Management with Interdepedent Choice, Oxford Review of Economic Policy, 15 (3), 52-62.
  • Omane-Adjepong, M., Paul Alagidede, I., Lyimo, A. G., & Tweneboah, G. (2021). Herding behaviour in cryptocurrency and emerging financial markets. Cogent Economics & Finance, 9(1), 1933681.
  • Persaud, A. (2000). Sending the Herd off the Cliff Edge: The Disturbing Interaction between Herding and Market-Sensitive Risk Management Practices, in Jacques de Larosiere Essays on Global Finance, Washington: Institute of International Finance.
  • Philippas, D., Philippas, N., Tziogkidis, P., & Rjiba, H. (2020). Signal-herding in cryptocurrencies. Journal of International Financial Markets, Institutions and Money, 65, 101191.
  • Raimundo Júnior, G. D. S., Palazzi, R. B., Tavares, R. D. S., & Klotzle, M. C. (2022). Market stress and herding: a new approach to the cryptocurrency market. Journal of Behavioral Finance, 23(1), 43-57.
  • Senarathne, C. W., & Jianguo, W. (2020). Herd behaviour in the cryptocurrency market: Fundamental vs. spurious herding. The European Journal of Applied Economics, 17(1), 20-36.
  • da Gama Silva, P. V. J., Klotzle, M. C., Pinto, A. C. F., & Gomes, L. L. (2019). Herding behavior and contagion in the cryptocurrency market. Journal of Behavioral and Experimental Finance, 22, 41-50.
  • S&P Global (2023), 1 Ocak 2023 tarihinde https://www.spglobal.com/en/ adresinden kripto parayla ilgili endeksler alındı.
  • Shiller, R.J. (1990). Investor Behavior in the October 1987 Stock Market Crash: Survey Evidence, in Market Volatility, Cambridge: Massachusetts: MIT Press.
  • Stavroyiannis, S., & Babalos, V. (2019). Herding behavior in cryptocurrencies revisited: Novel evidence from a TVP model. Journal of Behavioral and Experimental Finance, 22, 57-63.
  • Vidal-Tomás, D., Ibáñez, A. M., & Farinós, J. E. (2019). Herding in the cryptocurrency market: CSSD and CSAD approaches. Finance Research Letters, 30, 181-186.
  • Welch, I. (1992). Sequental Sales, Learning and Cascades, Journal of Finance, 47, 695-732.
  • Yağcılar, G. G., & Arslan, Z. Kripto Varlık Piyasasında Sürü Davranışı: Yatırımcı Elon Musk’ı İzler Mi?. Mehmet Akif Ersoy Üniversitesi Uygulamalı Bilimler Dergisi, 7(2), 132-148.
  • Yousaf, I., & Yarovaya, L. (2022). Herding behavior in conventional cryptocurrency market, non-fungible tokens, and DeFi assets. Finance Research Letters, 50, 103299.
  • Youssef, M. (2022). What drives herding behavior in the cryptocurrency market?. Journal of Behavioral Finance, 23(2), 230-239.
There are 47 citations in total.

Details

Primary Language Turkish
Subjects Financial Economy
Journal Section Makale Başvuru
Authors

Aylin Hancı 0000-0002-9804-257X

Erdinç Altay 0000-0002-4461-3891

Early Pub Date January 25, 2024
Publication Date January 26, 2024
Submission Date January 4, 2024
Acceptance Date January 7, 2024
Published in Issue Year 2024 Volume: 19 Issue: 61

Cite

APA Hancı, A., & Altay, E. (2024). KRİPTO PARA PİYASASINDA SÜRÜ DAVRANIŞI: COINLERDE VE TOKENLARDA PİYASA YÖNÜNDE SÜRÜ DAVRANIŞININ ANALİZİ. Öneri Dergisi, 19(61), 123-145. https://doi.org/10.14783/maruoneri.1414561

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Öneri

Marmara UniversityInstitute of Social Sciences

Göztepe Kampüsü Enstitüler Binası Kat:5 34722  Kadıköy/İstanbul

e-ISSN: 2147-5377