Thesis(Master) -- KDI School: Master of Public Policy, 2021The main objective of this study is to empirically investigate the existence of the herding phenomena in the cryptocurrency market, and if so, explore whether the Fear of Missing Out affect such phenomena. To that end, the data utilized are the cryptocurrency price data, the Economic Policy Index (EPU Index) of the United States, and the Fear and Greed Index (FGI). Thirty-seven cryptocurrencies daily price data cover from January 1st, 2014, to August 31st, 2021. The EPU Index indicates the degree of an uncertain economic policy environment that
the investors face. Whereas the FGI is the proxy for the Fear of Missing Out phenomenon in
the market. The core methodology is Cross-Sectional Absolute Deviation (CSAD). Based on
the structural break detected in the market trend, a 60-days rolling window CSAD regression is applied. The main findings are as follow. First, eight separate periods of herding are observed in the total sample period. Second, uncertain sentiment on economic policy increased the probability of herding occurrence. Third, a higher level of greed that prevails in the cryptocurrency market also increases the likelihood of herding. Fourth, the herding phenomenon did not mean a significantly different level of return on investment, compared to the return under the non-herding period.1. Introduction
2. Background
3. Data and Methodology
4. Empirical Results
5. Conclusion and Policy SuggestionsOutstandingmasterpublishedDongwook KI
