We test for herding in crypto-currency markets using the CSAD method of Chang et al. (2000). Daily returns of 6 major crypto-currencies and market index CCI30 for the period 07-08-2015 t0 18-01-2018 is used. Possibility of herding under up and down market and high and low volatility is tested. Herding is found under up and down market activity, indicating over-enthusiasm and over-reaction. Market volatility is found not to have any significant impact on herding behavior. Herding is found to be dependent upon the market activity rather than market volatility.
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Ajaz et al. (2018) studied this question.
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