| Abstract [eng] |
72 pages, 15 formulas, 4 figures, 29 tables, 67 references. The main goal of this master thesis is to investigate the herding effect on cryptocurrency prices during the COVID-19 period. Thesis consists of three parts. In the first part, author analyzes scientific literature and presents theoretical assumptions of the herding effect in the cryptocurrency market. After analyzing literature, author created a research methodology. Data from the ten leading cryptocurrencies by market capitalization is used in the study. The CRIX index is used to calculate the change in market prices for cryptocurrencies. In order to properly assess herding effect on cryptocurrency prices during COVID-19, the study compares the herding effect on cryptocurrency prices before COVID-19 and during coronavirus pandemic. The chosen CSAD method was proposed by Chang et al. (2000). To assess the impact of information on herding effect on cryptocurrency prices, impact of public information related to COVID-19 published on the World Health Organization (WHO) website was studied. Excel and SPSS programs are used for the research. The study revealed that investors in the cryptocurrency under investigation are not strongly affected by this health crisis that herding effect on cryptocurrency prices will occur. The impact assessment of the information showed that the public information related to COVID-19 does not have a significant impact on the investors in the cryptocurrencies under investigation in order to have herding effect on cryptocurrency prices. Assessing the influence of positive and negative information, and taking into account the asymmetric feature of the herding effect, the occurrence of the herding effect on the prices of the studied cryptocurrencies under these conditions was not determined. The conclusions and suggestions provide the main insights into the systematic literature and the results of the research. The author believes that the results of the study could be useful for the inclusion of cryptocurrencies in the investment portfolio for the purpose of hedging in health crises. |
