Herding unmasked: Insights into cryptocurrencies, stocks and US ETFs.
Herding behavior has become a familiar phenomenon to investors, with potential dangers of both undervaluing and overvaluing assets, while also threatening market stability. This study contributes to the literature on herding behavior by using a recent dataset, covering the most impactful events of r...
Saved in:
| Main Authors: | , , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Public Library of Science (PLoS)
2025-01-01
|
| Series: | PLoS ONE |
| Online Access: | https://doi.org/10.1371/journal.pone.0316332 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| _version_ | 1823864077410107392 |
|---|---|
| author | An Pham Ngoc Nguyen Martin Crane Thomas Conlon Marija Bezbradica |
| author_facet | An Pham Ngoc Nguyen Martin Crane Thomas Conlon Marija Bezbradica |
| author_sort | An Pham Ngoc Nguyen |
| collection | DOAJ |
| description | Herding behavior has become a familiar phenomenon to investors, with potential dangers of both undervaluing and overvaluing assets, while also threatening market stability. This study contributes to the literature on herding behavior by using a recent dataset, covering the most impactful events of recent years. To our knowledge, this is the first study examining herding behavior across three different types of investment vehicle and also the first study observing herding at a community (subset) level. Specifically, we first explore this phenomenon in each separate type of investment vehicle, namely stocks, US ETFs and cryptocurrencies, using the Cross-Sectional Absolute Deviation model. We find mostly similar herding patterns for stocks and US ETFs. Subsequently, the same experiment is implemented on a combination of all three investment vehicles. For a deeper investigation, we adopt graph-based techniques including the Minimum Spanning Tree and Louvain community detection to partition the combination into smaller subsets to detect herding behavior for each subset. We find that herding behavior exists at all times across all types of investment vehicle at a subset level, although perhaps not at the superset level, and that this herding behavior tends to stem from specific events that solely impact that subset of assets. Lastly, we explore herding by examining the financial contagion effects between these types of investment vehicle. Results show that US ETFs not only have a tendency to propagate similar trading behaviors in stocks and especially cryptocurrencies but also show self-reinforcing herding behavior, acting as drivers of their own trends. |
| format | Article |
| id | doaj-art-54492a0ae262412ca345aea914bf86e2 |
| institution | Kabale University |
| issn | 1932-6203 |
| language | English |
| publishDate | 2025-01-01 |
| publisher | Public Library of Science (PLoS) |
| record_format | Article |
| series | PLoS ONE |
| spelling | doaj-art-54492a0ae262412ca345aea914bf86e22025-02-09T05:30:41ZengPublic Library of Science (PLoS)PLoS ONE1932-62032025-01-01202e031633210.1371/journal.pone.0316332Herding unmasked: Insights into cryptocurrencies, stocks and US ETFs.An Pham Ngoc NguyenMartin CraneThomas ConlonMarija BezbradicaHerding behavior has become a familiar phenomenon to investors, with potential dangers of both undervaluing and overvaluing assets, while also threatening market stability. This study contributes to the literature on herding behavior by using a recent dataset, covering the most impactful events of recent years. To our knowledge, this is the first study examining herding behavior across three different types of investment vehicle and also the first study observing herding at a community (subset) level. Specifically, we first explore this phenomenon in each separate type of investment vehicle, namely stocks, US ETFs and cryptocurrencies, using the Cross-Sectional Absolute Deviation model. We find mostly similar herding patterns for stocks and US ETFs. Subsequently, the same experiment is implemented on a combination of all three investment vehicles. For a deeper investigation, we adopt graph-based techniques including the Minimum Spanning Tree and Louvain community detection to partition the combination into smaller subsets to detect herding behavior for each subset. We find that herding behavior exists at all times across all types of investment vehicle at a subset level, although perhaps not at the superset level, and that this herding behavior tends to stem from specific events that solely impact that subset of assets. Lastly, we explore herding by examining the financial contagion effects between these types of investment vehicle. Results show that US ETFs not only have a tendency to propagate similar trading behaviors in stocks and especially cryptocurrencies but also show self-reinforcing herding behavior, acting as drivers of their own trends.https://doi.org/10.1371/journal.pone.0316332 |
| spellingShingle | An Pham Ngoc Nguyen Martin Crane Thomas Conlon Marija Bezbradica Herding unmasked: Insights into cryptocurrencies, stocks and US ETFs. PLoS ONE |
| title | Herding unmasked: Insights into cryptocurrencies, stocks and US ETFs. |
| title_full | Herding unmasked: Insights into cryptocurrencies, stocks and US ETFs. |
| title_fullStr | Herding unmasked: Insights into cryptocurrencies, stocks and US ETFs. |
| title_full_unstemmed | Herding unmasked: Insights into cryptocurrencies, stocks and US ETFs. |
| title_short | Herding unmasked: Insights into cryptocurrencies, stocks and US ETFs. |
| title_sort | herding unmasked insights into cryptocurrencies stocks and us etfs |
| url | https://doi.org/10.1371/journal.pone.0316332 |
| work_keys_str_mv | AT anphamngocnguyen herdingunmaskedinsightsintocryptocurrenciesstocksandusetfs AT martincrane herdingunmaskedinsightsintocryptocurrenciesstocksandusetfs AT thomasconlon herdingunmaskedinsightsintocryptocurrenciesstocksandusetfs AT marijabezbradica herdingunmaskedinsightsintocryptocurrenciesstocksandusetfs |