Herding in Cryptocurrencies: CSSD and CSAD Approaches
Lucas Deighton Chrisostomides · 2022
This paper uses CSSD developed by Christie and Huang (1995) and CSAD developed by Chang, Cheng, and Khorana (2000) to test for herding in cryptocurrencies over the period 21/09/2018-21/09/2022.Two sets of cryptocurrencies were considered, one containing the 34 largest cryptocurrencies by market capitalisation and the other containing 15 cryptocurrencies with market capitalisations under $200 million.Any cryptocurrencies launched after 21/09/2018 were excluded from the samples in the interests of consistency.Using CSSD, no herding was detected while with CSAD a weak herding effect was observed, though the results were not statistically significant.This paper has important implications for cryptocurrency investors, researchers, and policymakers.