Journal of Accounting, Finance & Management Strategy





Volume 16, Number 1, June 2021

Further Evidence of Herding Behavior in Cryptocurrency Markets During the COVID-19 Pandemic


This study investigates the herding behavior in the Singaporean cryptocurrency markets during the full crisis period, differentiates its presence before (pre-event) and after (post-event) the World Health Organization officially declared COVID-19 as a global pandemic on March 11, 2020. Discriminates its occurrence between up & down market conditions and further distinguishes the phenomenon between periods of low & high volatilities. Our results show that herding effect is present in but is contingent in a specific combination of market state and market condition, only during down markets in periods of high volatility (down market – high volatility) and up markets in periods of low volatility (up market – low volatility). Furthermore, results indicate an asymmetric herding effect and is robust in a market capitalization-weighted model.

Keywords: COVID-19, Cryptocurrency, Herding Behavior, CSAD, Markov-Switching

JEL Classification: G01, G41