The witching week of herding on bitcoin exchanges  

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

机构地区：[1]Department of Accounting and Finance,Faculty of Economics and Business Administration,University of Zaragoza and Research Institute on Employment,Digital Society and Sustainability(IEDIS),Gran Vía 2,50005 Zaragoza,Spain [2]Department of Business Administration,Institute for Advanced Research in Business and Economics(INARBE),Public University of Navarre(UPNA),Campus de Arrosadia s/n,31006 Pamplona,Spain [3]Department of Accounting and Finance,Faculty of Economics and Business Administration,University of Zaragoza,Gran Vía 2,50005 Zaragoza,Spain

出　　处：《Financial Innovation》2022年第1期752-769,共18页金融创新（英文）

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 dollars.Adapting 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.After expiration,the herding effect lasts for a few hours and disappears.Information overload originating,among other causes,from sophisticated investors’strategies may generate this mimetic behaviour.The 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.

关 键 词：HERDING Expiration effect Bitcoin FUTURES EXCHANGES Intraday data 

分 类 号：F821[经济管理—财政学]