Volume 30, Issue 2 (summer 2025)
JEPR 2025, 30(2): 0-0 |
Back to browse issues page
Download citation:
BibTeX | RIS | EndNote | Medlars | ProCite | Reference Manager | RefWorks
Send citation to:
BibTeX | RIS | EndNote | Medlars | ProCite | Reference Manager | RefWorks
Send citation to:
Sharifi S, Mazyaki A, Talbloo R. (2025). Empirical Analysis of Herd Behavior in the Cryptocurrency Market: Evidence from COVID-19 and Social Media Influencers' Messages. JEPR. 30(2),
URL: http://eprj.ir/article-1-2338-en.html
URL: http://eprj.ir/article-1-2338-en.html
1- , mazyaki@atu.ac.ir
Abstract: (80 Views)
The role of social media influencers in the cryptocurrency market, particularly when their messages have the potential to amplify herd behavior, is a complex and noteworthy topic. This study uses daily data from October 2019 to December 2022 to examine the impact of these influencers' messages, Federal Reserve news, and the volume of COVID-19 cases on herd behavior in the cryptocurrency market. The results show that herd behavior is more prevalent during market booms, while factors such as the spread of COVID-19 have strengthened anti-herding behavior during periods of crisis. Regarding the messages from influencers, daily fluctuations in these messages have been found to influence herd behavior, leading to greater alignment among investors during market booms. To address potential endogeneity, the study separated the data into boom and recession periods, although more precise research and caution in analyzing the effects of influencers' messages are needed to effectively manage herd behavior in cryptocurrency markets. Overall, the findings can help policymakers and market analysts gain a better understanding of herd behavior and design more effective risk management strategies in the cryptocurrency market.
Keywords: cryptocurrency, herding behavior, cross-sectional absolute deviation, capital asset pricing model
Type of Study: Research |
Subject:
financial economics
Received: Jan 12 2025 | Accepted: Aug 30 2025 | ePublished: Jan 07 2026
Received: Jan 12 2025 | Accepted: Aug 30 2025 | ePublished: Jan 07 2026
References
1. Ali, M., Alam, N., & Rizvi, S. A. R. (2020). Coronavirus (covid-19)-An epidemic or pandemic for financial markets. Journal of Behavioral and Experimental Finance, 27, 100341. [DOI:10.1016/j.jbef.2020.100341]
2. Bouri, E., Gupta, R., & Roubaud, D. (2019). Herding behaviour in cryptocurrencies. Finance Research Letters, 29, 216-221. [DOI:10.1016/j.frl.2018.07.008]
3. 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. [DOI:10.1016/S0378-4266(99)00096-5]
4. 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. [DOI:10.1016/j.jbef.2019.01.006]
5. Elendner, H., Trimborn, S., Ong, B., & Lee, T. M. (2016). The cross-section of crypto-currencies as financial assets: An overview.
6. Gębka, B., & Wohar, M. E. (2013). International herding: Does it differ across sectors?. Journal of International Financial Markets, Institutions and Money, 23, 55-84. [DOI:10.1016/j.intfin.2012.09.003]
7. Haroon, O., & Rizvi, S. A. R. (2020). covid-19: Media coverage and financial markets behavior-A sectoral inquiry. Journal of Behavioral and Experimental Finance, 27, 100343. [DOI:10.1016/j.jbef.2020.100343]
8. Johnson, R. A., & Wichern, D. W. (2002). Applied multivariate statistical analysis.
9. Kabir, M. H., & Shakur, S. (2018). Regime-dependent herding behavior in Asian and Latin American stock markets. Pacific-Basin Finance Journal, 47, 60-78. [DOI:10.1016/j.pacfin.2017.12.002]
10. Kahneman, D., & Riepe, M. W. (1998). Aspects of investor psychology. Journal of portfolio management, 24(4), 52-+. [DOI:10.3905/jpm.1998.409643]
11. Kyriazis, N. A. (2020). Herding behaviour in digital currency markets: An integrated survey and empirical estimation. Heliyon, 6(8), e04752. [DOI:10.1016/j.heliyon.2020.e04752]
12. Mahdi, E., & Al-Abdulla, A. (2022). Impact of covid-19 Pandemic News on the Cryptocurrency Market and Gold Returns: A Quantile-on-Quantile Regression Analysis. Econometrics, 10(2), 26. [DOI:10.3390/econometrics10020026]
13. Mandaci, P. E., & Cagli, E. C. (2022). Herding intensity and volatility in cryptocurrency markets during the covid-19. Finance Research Letters, 46, 102382. [DOI:10.1016/j.frl.2021.102382]
14. Poyser, O. (2018). Herding behavior in cryptocurrency markets. arXiv preprint arXiv:1806.11348.
15. Sharpe, W. F. (1964). Capital asset prices: A theory of market equilibrium under conditions of risk. The journal of finance, 19(3), 425-442. [DOI:10.1111/j.1540-6261.1964.tb02865.x]
16. Simon, H. A. (1997). Models of bounded rationality: Empirically grounded economic reason (Vol. 3). MIT press. [DOI:10.7551/mitpress/4711.001.0001]
17. Trimborn, S., & Härdle, W. K. (2018). CRIX an Index for blockchain based Currencies.
18. Trimborn, S., & Härdle, W. K. (2018). CRIX an Index for cryptocurrencies. Journal of Empirical Finance, 49, 107-122. [DOI:10.1016/j.jempfin.2018.08.004]
19. Zhang, J., & Liu, P. (2012). Rational herding in microloan markets. Management science, 58(5), 892-912 [DOI:10.1287/mnsc.1110.1459]
20. Ali, M., Alam, N., & Rizvi, S. A. R. (2020). Coronavirus (covid-19)-An epidemic or pandemic for financial markets. Journal of Behavioral and Experimental Finance, 27, 100341. [DOI:10.1016/j.jbef.2020.100341]
21. Ante, L. (2021). How Elon Musk's tweets influence Bitcoin and Dogecoin. Finance Research Letters, 38, 101--.
22. Bernanke, B. S., & Gertler, M. (1999). Monetary policy and its impact on financial markets. Brookings Papers on Economic Activity, 1999(1), 1-78.
23. Hung, J.-C., Liu, H.-C., & Yang, J. J. (2024). The economic value of Bitcoin: A volatility timing perspective with portfolio rebalancing. SSRN. [DOI:10.1016/j.najef.2024.102260]
24. Bouri, E., Gupta, R., & Roubaud, D. (2019). Herding behaviour in cryptocurrencies. Finance Research Letters, 29, 216-221. [DOI:10.1016/j.frl.2018.07.008]
25. 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. [DOI:10.1016/S0378-4266(99)00096-5]
26. Conlon, T., & McGee, R. (2020). Safe haven or risky hazard? Bitcoin during the COVID-19 bear market. *Finance Research Letters, 35, 101607. [DOI:10.1016/j.frl.2020.101607]
27. Corbet, S., Larkin, C., & Lucey, B. (2020). The contagion effects of the COVID-19 pandemic: Evidence from gold and cryptocurrencies. *Finance Research Letters, 35,101554. [DOI:10.1016/j.frl.2020.101554]
28. 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. [DOI:10.1016/j.jbef.2019.01.006]
29. Elendner, H., Trimborn, S., Ong, B., & Lee, T. M. (2016). The cross-section of crypto-currencies as financial assets: An overview.
30. Gębka, B., & Wohar, M. E. (2013). International herding: Does it differ across sectors?. Journal of International Financial Markets, Institutions and Money, 23, 55-84. [DOI:10.1016/j.intfin.2012.09.003]
31. Goodell, J. W. (2020). COVID-19 and finance: Agendas for future research. Finance Research Letters, 35, 101512. [DOI:10.1016/j.frl.2020.101512]
32. Haroon, O., & Rizvi, S. A. R. (2020). covid-19: Media coverage and financial markets behavior-A sectoral inquiry. Journal of Behavioral and Experimental Finance, 27, 100343. [DOI:10.1016/j.jbef.2020.100343]
33. Johnson, R. A., & Wichern, D. W. (2002). Applied multivariate statistical analysis.
34. Kabir, M. H., & Shakur, S. (2018). Regime-dependent herding behavior in Asian and Latin American stock markets. Pacific-Basin Finance Journal, 47, 60-78. [DOI:10.1016/j.pacfin.2017.12.002]
35. Kahneman, D., & Riepe, M. W. (1998). Aspects of investor psychology. Journal of portfolio management, 24(4), 52-+. [DOI:10.3905/jpm.1998.409643]
36. Kraaijenbrink, J., & de Klerk, M. (2020). Sentiment classification of cryptocurrency-related social media posts. Erasmus University Rotterdam. Retrieved from
37. Kyriazis, N. A. (2020). Herding behaviour in digital currency markets: An integrated survey and empirical estimation. Heliyon, 6(8), e04752. [DOI:10.1016/j.heliyon.2020.e04752]
38. Liu, B. (2012). Sentiment analysis and opinion mining. Synthesis Lectures on Human Language Technologies, 5(1), 1-167. [DOI:10.1007/978-3-031-02145-9]
39. Mahdi, E., & Al-Abdulla, A. (2022). Impact of covid-19 Pandemic News on the Cryptocurrency Market and Gold Returns: A Quantile-on-Quantile Regression Analysis. Econometrics, 10(2), 26. [DOI:10.3390/econometrics10020026]
40. Mandaci, P. E., & Cagli, E. C. (2022). Herding intensity and volatility in cryptocurrency markets during the covid-19. Finance Research Letters, 46, 102382. [DOI:10.1016/j.frl.2021.102382]
41. Poyser, O. (2018). Herding behavior in cryptocurrency markets. arXiv preprint arXiv:1806.11348.
42. Sharpe, W. F. (1964). Capital asset prices: A theory of market equilibrium under conditions of risk. The journal of finance, 19(3), 425-442. [DOI:10.1111/j.1540-6261.1964.tb02865.x]
43. Simon, H. A. (1997). Models of bounded rationality: Empirically grounded economic reason (Vol. 3). MIT press. [DOI:10.7551/mitpress/4711.001.0001]
44. Trimborn, S., & Härdle, W. K. (2018). CRIX an Index for blockchain based Currencies.
45. Trimborn, S., & Härdle, W. K. (2018). CRIX an Index for cryptocurrencies. Journal of Empirical Finance, 49, 107-122. [DOI:10.1016/j.jempfin.2018.08.004]
46. Yousaf, I., & Ali, S. (2022). Impact of U.S. monetary policy on cryptocurrency markets. *Borsa Istanbul Review, 22 (1), 56-65.
47. Zhang, D., Hu, M., & Ji, Q. (2020). Financial markets under the global pandemic of COVID-19. Finance Research Letters, 36, 101528. [DOI:10.1016/j.frl.2020.101528]
48. Zhang, J., & Liu, P. (2012). Rational herding in microloan markets. Management science, 58(5), 892-912. [DOI:10.1287/mnsc.1110.1459]
49. Ali, M., Alam, N., & Rizvi, S. A. R. (2020). Coronavirus (covid-19)-An epidemic or pandemic for financial markets. Journal of Behavioral and Experimental Finance, 27, 100341. [DOI:10.1016/j.jbef.2020.100341]
50. Ante, L. (2021). How Elon Musk's tweets influence Bitcoin and Dogecoin. Finance Research Letters, 38, 101--.
51. Bernanke, B. S., & Gertler, M. (1999). Monetary policy and its impact on financial markets. Brookings Papers on Economic Activity, 1999(1), 1-78.
52. Hung, J.-C., Liu, H.-C., & Yang, J. J. (2024). The economic value of Bitcoin: A volatility timing perspective with portfolio rebalancing. SSRN. [DOI:10.1016/j.najef.2024.102260]
53. Bouri, E., Gupta, R., & Roubaud, D. (2019). Herding behaviour in cryptocurrencies. Finance Research Letters, 29, 216-221. [DOI:10.1016/j.frl.2018.07.008]
54. 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. [DOI:10.1016/S0378-4266(99)00096-5]
55. Conlon, T., & McGee, R. (2020). Safe haven or risky hazard? Bitcoin during the COVID-19 bear market. *Finance Research Letters, 35, 101607. [DOI:10.1016/j.frl.2020.101607]
56. Corbet, S., Larkin, C., & Lucey, B. (2020). The contagion effects of the COVID-19 pandemic: Evidence from gold and cryptocurrencies. *Finance Research Letters, 35,101554. [DOI:10.1016/j.frl.2020.101554]
57. 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. [DOI:10.1016/j.jbef.2019.01.006]
58. Elendner, H., Trimborn, S., Ong, B., & Lee, T. M. (2016). The cross-section of crypto-currencies as financial assets: An overview.
59. Gębka, B., & Wohar, M. E. (2013). International herding: Does it differ across sectors?. Journal of International Financial Markets, Institutions and Money, 23, 55-84. [DOI:10.1016/j.intfin.2012.09.003]
60. Goodell, J. W. (2020). COVID-19 and finance: Agendas for future research. Finance Research Letters, 35, 101512. [DOI:10.1016/j.frl.2020.101512]
61. Haroon, O., & Rizvi, S. A. R. (2020). covid-19: Media coverage and financial markets behavior-A sectoral inquiry. Journal of Behavioral and Experimental Finance, 27, 100343. [DOI:10.1016/j.jbef.2020.100343]
62. Johnson, R. A., & Wichern, D. W. (2002). Applied multivariate statistical analysis.
63. Kabir, M. H., & Shakur, S. (2018). Regime-dependent herding behavior in Asian and Latin American stock markets. Pacific-Basin Finance Journal, 47, 60-78. [DOI:10.1016/j.pacfin.2017.12.002]
64. Kahneman, D., & Riepe, M. W. (1998). Aspects of investor psychology. Journal of portfolio management, 24(4), 52-+. [DOI:10.3905/jpm.1998.409643]
65. Kraaijenbrink, J., & de Klerk, M. (2020). Sentiment classification of cryptocurrency-related social media posts. Erasmus University Rotterdam. Retrieved from
66. Kyriazis, N. A. (2020). Herding behaviour in digital currency markets: An integrated survey and empirical estimation. Heliyon, 6(8), e04752. [DOI:10.1016/j.heliyon.2020.e04752]
67. Liu, B. (2012). Sentiment analysis and opinion mining. Synthesis Lectures on Human Language Technologies, 5(1), 1-167. [DOI:10.1007/978-3-031-02145-9]
68. Mahdi, E., & Al-Abdulla, A. (2022). Impact of covid-19 Pandemic News on the Cryptocurrency Market and Gold Returns: A Quantile-on-Quantile Regression Analysis. Econometrics, 10(2), 26. [DOI:10.3390/econometrics10020026]
69. Mandaci, P. E., & Cagli, E. C. (2022). Herding intensity and volatility in cryptocurrency markets during the covid-19. Finance Research Letters, 46, 102382. [DOI:10.1016/j.frl.2021.102382]
70. Poyser, O. (2018). Herding behavior in cryptocurrency markets. arXiv preprint arXiv:1806.11348.
71. Sharpe, W. F. (1964). Capital asset prices: A theory of market equilibrium under conditions of risk. The journal of finance, 19(3), 425-442. [DOI:10.1111/j.1540-6261.1964.tb02865.x]
72. Simon, H. A. (1997). Models of bounded rationality: Empirically grounded economic reason (Vol. 3). MIT press. [DOI:10.7551/mitpress/4711.001.0001]
73. Trimborn, S., & Härdle, W. K. (2018). CRIX an Index for blockchain based Currencies.
74. Trimborn, S., & Härdle, W. K. (2018). CRIX an Index for cryptocurrencies. Journal of Empirical Finance, 49, 107-122. [DOI:10.1016/j.jempfin.2018.08.004]
75. Yousaf, I., & Ali, S. (2022). Impact of U.S. monetary policy on cryptocurrency markets. *Borsa Istanbul Review, 22 (1), 56-65.
76. Zhang, D., Hu, M., & Ji, Q. (2020). Financial markets under the global pandemic of COVID-19. Finance Research Letters, 36, 101528. [DOI:10.1016/j.frl.2020.101528]
77. Zhang, J., & Liu, P. (2012). Rational herding in microloan markets. Management science, 58(5), 892-912. [DOI:10.1287/mnsc.1110.1459]
| Rights and permissions | |
.jpg) |
This work is licensed under a Creative Commons Attribution 4.0 International License. |
