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

Year 2024, , 123 - 145, 26.01.2024

Aylin Hancı , Erdinç Altay

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

Cited By: 1

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

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

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

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