Rubbaniyc, Ghulame, Tee, Kienpin, Iren, Perihan, and Abdennadher, Sonia (2022) Investors' mood and herd investing: A quantile-on-quantile regression explanation from crypto market. Finance Research Letters, 47. 102585.

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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.

Item ID:	75684
Item Type:	Article (Research - C1)
ISSN:	1544-6131
Copyright Information:	© 2021 Elsevier Inc. All rights reserved.
Date Deposited:	07 Sep 2022 01:41
FoR Codes:	35 COMMERCE, MANAGEMENT, TOURISM AND SERVICES > 3502 Banking, finance and investment > 350203 Financial econometrics @ 100%
SEO Codes:	11 COMMERCIAL SERVICES AND TOURISM > 1102 Financial services > 110201 Finance services @ 100%
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