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. 2022;8(1):26.
doi: 10.1186/s40854-021-00323-4. Epub 2022 Mar 7.

The witching week of herding on bitcoin exchanges

N Blasco  1 , P Corredor  2 , N Satrústegui  3
Affiliations

The witching week of herding on bitcoin exchanges

N Blasco et al. Financ Innov. 2022.

Abstract

This paper analyses the herding behaviour among exchanges around the expiration of bitcoin futures traded on the Chicago Mercantile Exchange (CME). The database extends from December 2017 to October 2020, taking as a reference the main exchanges that trade bitcoin (Binance, Bitfinex, Bitstamp, Coinbase, itBit, Kraken, and Gemini) and using hourly closing prices and trading volumes in bitcoin and US dollars. Adapting the proposal of Chang, Cheng and Khorana (2000) (CCK) to test conditional herding, we obtain results that indicate that the herding effect is significant during the week before expiration. After expiration, the herding effect lasts for a few hours and disappears. Information overload originating, among other causes, from sophisticated investors' strategies may generate this mimetic behaviour. The results show the relevance of intraday data applied to specific events such as expiration since the unconditional analysis shows, in general, anti-herding behaviour throughout the period of study.

Keywords: Bitcoin; Exchanges; Expiration effect; Futures; Herding; Intraday data.

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Conflict of interest statement

Competing interestsThe authors declare that they have no competing interests.

Figures

Fig. 1
Fig. 1
Flow chart of the analysis process
Fig. 2
Fig. 2
Estimates of significant herding coefficients around futures expiration
See this image and copyright information in PMC

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