Autori: Haryanto, Steven , Subroto, Athor , Ulpah, Maria
Titolo: Disposition effect and herding behavior in the cryptocurrency market
Periodico: Economia e politica industriale
Anno: 2020 - Volume: 47 - Fascicolo: 1 - Pagina iniziale: 115 - Pagina finale: 132

This paper investigates two behavioral biases—the disposition effect and herding—using the Mt. Gox data between 2011–2013 in the bitcoin cryptocurrency market. Using trade round-trip and survival analysis, it shows the market exhibits a reverse disposition effect in bullish periods and the usual positive disposition effect in bearish periods. It finds evidence of herding in bearish as well as bullish periods using a return dispersion model. Additionally, it shows that herding moves along the market trend. Herding increases in both bullish and bearish periods when the bitcoin price increases and decreases, respectively.


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SICI: 0391-2078(2020)47:1<115:DEAHBI>2.0.ZU;2-H

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