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Do clean and dirty cryptocurrency markets herd differently?

Boru Ren Orcid Logo, Brian Lucey Orcid Logo

Finance Research Letters, Volume: 47, Start page: 102795

Swansea University Author: Boru Ren Orcid Logo

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Abstract

In this paper, we investigate the herding behaviour of two types of cryptocurrencies, referred to as ”black/dirty” and ”green/clean” based on their energy usage levels. Empirical results reveal that herding generally exists only in the dirty cryptocurrency market, and is more significant in down mar...

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Published in: Finance Research Letters
ISSN: 1544-6123 1544-6131
Published: Elsevier BV 2022
Online Access: Check full text

URI: https://cronfa.swan.ac.uk/Record/cronfa64717
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Abstract: In this paper, we investigate the herding behaviour of two types of cryptocurrencies, referred to as ”black/dirty” and ”green/clean” based on their energy usage levels. Empirical results reveal that herding generally exists only in the dirty cryptocurrency market, and is more significant in down markets. Moreover, we find that clean cryptocurrencies do herd, but with dirty cryptocurrencies, when the two markets are both positive. Our findings are robust across value- and equal-weighted portfolios and provide valuable insights to investors and policy makers.
Keywords: Herding, Cryptocurrencies, Sustainable cryptocurrency, Bitcoin
College: Faculty of Humanities and Social Sciences
Start Page: 102795