Herding behavior in conventional cryptocurrency market, non-fungible tokens, and DeFi assets

We examine the static and time-varying herding behavior in three cryptocurrency classes: 'con-ventional' cryptocurrencies, non-fungible tokens, and DeFi assets during the most recent cryp-tocurrency bubble of 2021. While static herding analysis failed to demonstrate any evidence of herding, the time-varying herding has been identified in conventional cryptocurrencies and DeFi assets for the short investment horizons. The herding asymmetry analysis reveals that herding is not evident in conventional cryptocurrencies and NFT during up/down market, high/low vola-tility days, and high/low trading days. We only find herding in DeFi assets during the low volatility days.

Automated summary

This study examines the static and time-varying herding behavior of three cryptocurrency classes during the recent cryptocurrency bubble of 2021. The findings suggest that while there is no evidence of static herding, time-varying herding is identified in conventional cryptocurrencies and DeFi assets. Moreover, herding is not evident in conventional cryptocurrencies and NFT during different market conditions and trading days, except for DeFi assets during low volatility days.