Purpose

This study examines herd behavior in the cryptocurrency market at the aggregate level and the determinants of herd behavior, such as asymmetric market returns, the coronavirus disease 2019 (COVID-19) pandemic, 2021 cryptocurrency's bear market and the network effect.

Design/methodology/approach

The authors applied the Google Search Volume Index (GSVI) as a proxy for the network effect. Since investors who are interested in a particular issue have a common interest, they tend to perform searches using the same keywords in Google and are on the same network. The authors also investigated the daily returns of cryptocurrencies, which are in the top 100 market capitalizations from 2017 to 2022. The authors also examine the association between return dispersion and portfolio return based on aggregate market herding model and employ interactions between herding determinants such as, market direction, market trend, COVID-19 and network effect.

Findings

The empirical results indicate that herding behavior in the cryptocurrency market is significantly captured when the market returns of cryptocurrency tend to decline and when the network effect of investors tends to expand (e.g. such as during the COVID-19 pandemic or 2021 Bitcoin crash). However, the results confirm anti-herd behavior in cryptocurrency during the COVID-19 pandemic or 2021 Bitcoin crash, regardless of the network effect.

Practical implications

These findings help investors in the cryptocurrency market make more rational decisions based on their determinants since cryptocurrency is an alternative investment for investors' asset allocation. As imitating trades lead to return comovement, herd behavior in the cryptocurrency has a direct impact on the effectiveness of portfolio diversification. Hence, market participants or investors should consider herd behavior and its underlying factors to fully maximize the benefits of asset allocation, especially during the period of market uncertainty.

Originality/value

Most previous studies have focused on herd behavior in the stock market. Although some researchers have recently begun studying herd behavior in the cryptocurrency market, the empirical results are inconclusive due to an incorrectly specified model or unclear determinants.

中文翻译：

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加密货币市场的羊群行为：网络效应的证据

目的

本研究从总体层面考察了加密货币市场的羊群行为以及羊群行为的决定因素，例如市场回报不对称、2019 年冠状病毒病（COVID-19）大流行、2021 年加密货币熊市和网络效应。

设计/方法论/途径

作者应用谷歌搜索量指数（GSVI）作为网络效应的代理。由于对某一特定问题感兴趣的投资者有共同的兴趣，他们倾向于在谷歌中使用相同的关键词进行搜索，并且位于同一网络上。作者还调查了 2017 年至 2022 年市值排名前 100 的加密货币的每日回报。作者还基于总体市场羊群模型研究了回报离散度与投资组合回报之间的关联，并利用羊群决定因素之间的相互作用，例如：市场方向、市场趋势、COVID-19 和网络效应。

发现

实证结果表明，当加密货币的市场回报趋于下降以及投资者的网络效应趋于扩大时（例如在COVID-19大流行期间或2021年比特币崩盘期间），加密货币市场的羊群行为会被显着捕获。然而，结果证实了在 COVID-19 大流行或 2021 年比特币崩盘期间加密货币的反羊群行为，无论网络效应如何。

实际影响

这些发现有助于加密货币市场的投资者根据其决定因素做出更理性的决策，因为加密货币是投资者资产配置的另类投资。由于模仿交易导致回报联动，加密货币中的羊群行为对投资组合多元化的有效性产生直接影响。因此，市场参与者或投资者应该考虑羊群行为及其潜在因素，以充分实现资产配置收益最大化，尤其是在市场不确定时期。

原创性/价值

之前的大多数研究都集中在股票市场的羊群行为上。尽管一些研究人员最近开始研究加密货币市场的羊群行为，但由于模型指定不正确或决定因素不明确，实证结果尚无定论。