Publication: Geopolitical risk, herd behavior, and cryptocurrency market
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Issued Date
2025-09-01
Resource Type
ISSN
10629408
Scopus ID
2-s2.0-105008090504
Journal Title
North American Journal of Economics and Finance
Volume
80
Rights Holder(s)
SCOPUS
Bibliographic Citation
North American Journal of Economics and Finance Vol.80 (2025)
Suggested Citation
Wanidwaranan P., Wongkantarakorn J., Padungsaksawasdi C. Geopolitical risk, herd behavior, and cryptocurrency market. North American Journal of Economics and Finance Vol.80 (2025). doi:10.1016/j.najef.2025.102487 Retrieved from: https://hdl.handle.net/20.500.14740/21116
Corresponding Author(s)
Other Contributor(s)
Abstract
By analyzing an association between return dispersions and market returns in cryptocurrency markets, geopolitical risk (GPR) stimulates herding at the market-wide level. We augment the aggregate herding detection models of Chang, Cheng, and Khorana (2000) and find that severe herd behavior is presented in nearly all cases. Thus, the GPR is an essential moderating factor to promote herd behavior in crypto assets. Considering the GPR sub-indices, the GPR Threat index has a stronger impact than the GPR Act index. Imitating trades are more prevalent during bearish markets, confirming asymmetric herd behavior. Specifically, herd behavior is the strongest during the COVID-19 pandemic and the Russia-Ukraine war. We infer that herding is intentional, as information symmetry, disclosure, and quality in cryptocurrency markets are relatively low. Overall findings support the “fear of missing out” (FOMO) phenomenon and the pump and dump schemes suggested by Baur and Dimpfl (2018).