Determination of herd behavior in cryptocurrency markets

The main purpose of the study is to determine whether individual investors who invest in cryptocurrencies that are very interesting and debated recently, are herding when deciding to invest in cryptocurrency markets. In the study, USD-based daily and weekly closing values of fourty cryptocurrencies that had highest market cap have between the years 2015-2018 were used. In order to determine herd behavior, methods based on the cross-sectional distributions of the returns of Christie and Huang (1995) and Chang, Cheng and Khorana (2000) were used. Using the CH (1995) method as a result of both daily and weekly data and using CCK (2000) method as a result of weekly data, there were no evidences about the the existence of herd behavior in cryptocurrency markets. As a result of analysis with daily data using the CCK (2000) method, there was no evidence about the existence of herd behavior in up markets, while evidence regarding the existence of herd behavior in the down markets have been identified. It is thought the factors that causes these results are; there is a confusion of concept about cryptocurrencies, there are no regulations about cryptocurrencies that will eliminate concept confusion, excessive fluctuations in cryptocurrency prices and stolen cryptocurrencies from crytocurrency exchanges by hacking.