• A
  • A
  • A
  • ABC
  • ABC
  • ABC
  • А
  • А
  • А
  • А
  • А
Regular version of the site

Student
Title
Supervisor
Faculty
Educational Programme
Final Grade
Year of Graduation
Alexandre marc dominique Lieure
An Empirical Investigation of Herding Behavior in the Crypto-Currency Market
Finance
(Master’s programme)
9
2018
This dissertation investigates herd behaviour in the cryptocurrency market, following Avery & Zemsky’s (1998) information-based model of herd behaviour. More specifically, the relationship between event uncertainty and herding is considered as well as the interaction between information uncertainty, herding and price movements. The entire Bitcoin trade history of Poland’s leading cryptocurrency exchange was downloaded and used to measure the daily convergence of investment decisions. In order to assess the arrival of new information into the market, daily rising Bitcoin-related search terms from Google Trends were retrieved and then processed to compute a measure of event uncertainty. Evidence supporting Avery & Zemsky’s information-based model is uncovered –namely a significant positive relation between herding and event uncertainty. Furthermore, large price movements are observed when the market appears to behave like a well informed market, despite high event uncertainty.

Student Theses at HSE must be completed in accordance with the University Rules and regulations specified by each educational programme.

Summaries of all theses must be published and made freely available on the HSE website.

The full text of a thesis can be published in open access on the HSE website only if the authoring student (copyright holder) agrees, or, if the thesis was written by a team of students, if all the co-authors (copyright holders) agree. After a thesis is published on the HSE website, it obtains the status of an online publication.

Student theses are objects of copyright and their use is subject to limitations in accordance with the Russian Federation’s law on intellectual property.

In the event that a thesis is quoted or otherwise used, reference to the author’s name and the source of quotation is required.

Search all student theses