Exploring the impact of sentiment on the relationship between daily herding and investor attention in the cryptocurrency market

Abstract

This study examines the relationship between daily herding behavior and investor attention, as measured by the Google Search Volume Index, in the cryptocurrency market. Herding behavior is quantified using intra-day price data. The results suggest that higher investor attention is associated with a reduction in daily herding, which may reflect improved market efficiency. Furthermore, the moderating role of market sentiment is investigated, suggesting that during periods of heightened fear, the impact of attention on herding diminishes. These results indicate that elevated fear prompts investors to follow others’ decisions regardless of attention levels, highlighting the role of sentiment in shaping herding behavior.