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Table 5 Herding behavior—CSSD

From: Speculative bubbles and herding in cryptocurrencies

Cross-sectional standard deviation

 

BTC

ETH

XRP

ADA

DOGE

LTC

LINK

VET

XLM

THETA

TRX

CCI

Constant

0.027a (0.000)

0.032a (0.000)

0.027a (0.000)

0.028a (0.000)

0.034a (0.000)

0.026a (0.000)

0.031a (0.000)

0.025a (0.000)

0.026a (0.000)

0.032a (0.000)

0.026a (0.000)

0.026a (0.000)

\(\left| {R_{m,t} } \right|\)

0.807a (0.000)

0.385b (0.024)

0.793a (0.002)

0.723a (0.001)

0.251a (0.005)

0.935a (0.001)

0.506a (0.001)

0.928a (0.001)

0.861a (0.006)

0.378b (0.021)

0.862a (0.001)

0.835a (0.000)

\(R_{m,t}^{2}\)

−5.483a (0.000)

−1.004c (0.000)

−4.276b (0.027)

−4.053a (0.006)

−0.648c (0.053)

−6.119a (0.006)

−1.270b (0.010)

−5.774a (0.006)

−4.802b (0.044)

−0.966c (0.069)

−5.081a (0.006)

−5.333a (0.001)

\(R_{m,t}^{2} * Bubble_{t}\)

3.591a (0.000)

4.357c (0.080)

2.400c (0.066)

2.312b (0.018)

13.534a (0.002)

3.937b (0.013)

17.98 (0.258)

3.610b (0.011)

2.775c (0.086)

6.823b (0.012)

3.047b (0.013)

3.378a (0.001)

  1. Rm,t is the return of the CCI-30 Index, and Bubble is a dummy that is equal to 1 during the bubble period and 0 otherwise. Standard errors were corrected with appropriate lags based on the Newey and West (1987) method
  2. P-values are provided in parentheses
  3. a, b, and c represent the significance at the 1, 5, and 10 percent levels, respectively