Signal-Herding in Cryptocurrency Market

Abstract

The paper examines the influence of signals extracted from the behaviour of exogenous factors on herding intensity in the cryptocurrency market. We propose a novel approach whereby extracted signals are endogenized in investors’ decision-making. The signals may induce investors to converge further to (depart from) the market consensus, contributing to herding amplification (herding dampening). The findings reveal substantial asymmetries with respect to herding intensity, which are indicative of the diversity of signals extracted from exogenous factors.