The witching week of herding on bitcoin exchanges

作     者：N.Blasco P.Corredor N.Satrústegui 

作者机构：Department of Accounting and FinanceFaculty of Economics and Business AdministrationUniversity of Zaragoza and Research Institute on EmploymentDigital Society and Sustainability(IEDIS)Gran Vía 250005 ZaragozaSpain Department of Business AdministrationInstitute for Advanced Research in Business and Economics(INARBE)Public University of Navarre(UPNA)Campus de Arrosadia s/n31006 PamplonaSpain Department of Accounting and FinanceFaculty of Economics and Business AdministrationUniversity of ZaragozaGran Vía 250005 ZaragozaSpain 

出 版 物：《Financial Innovation》 (金融创新（英文）)

年 卷 期：2022年第8卷第1期

页      面：752-769页

核心收录：

学科分类：1202[管理学-工商管理] 07[理学] 0705[理学-地理学] 0701[理学-数学] 

基　　金：European Regional Development Fund, ERDF Gobierno de Aragón 

主　　题：Herding Expiration effect Bitcoin Futures Exchanges Intraday data 

摘      要：This paper analyses the herding behaviour among exchanges around the expiration of bitcoin futures traded on the Chicago Mercantile Exchange(CME).The database extends from December 2017 to October 2020,taking as a reference the main exchanges that trade bitcoin(Binance,Bitfinex,Bitstamp,Coinbase,itBit,Kraken,and Gemini)and using hourly closing prices and trading volumes in bitcoin and US *** the proposal of Chang,Cheng and Khorana(2000)(CCK)to test conditional herding,we obtain results that indicate that the herding effect is significant during the week before *** expiration,the herding effect lasts for a few hours and *** overload originating,among other causes,from sophisticated investors’strategies may generate this mimetic *** results show the relevance of intraday data applied to specific events such as expiration since the unconditional analysis shows,in general,anti-herding behaviour throughout the period of study.