The effects of a “black swan” event (COVID-19) on herding behavior in cryptocurrency markets

•We use hourly close prices for the main cryptocurrencies traded in USD, Euro, JPY and KRW.•COVID-19 does not amplify herding in cryptocurrency markets.•Herding remains contingent on up or down markets days.•Our results show that correlation in herding is time-varying.•Findings indicate the dominance of informed and probably institutional investors in the crypto market. This paper analyses herding in cryptocurrency markets in the time of the COVID-19 pandemic. We employ a combination of quantitative methods to hourly prices of the four most traded cryptocurrency markets - USD, EUR, JPY and KRW - for the period from 1st January 2019 to 13th March 2020. While there are several strong theoretical reasons to observe the “black swan” effect on cryptocurrency herding, our results suggest that COVID-19 does not amplify herding in cryptocurrency markets. In all markets studied, herding remains contingent on up or down markets days, but does not get stronger during the COVID-19. These results are important for cryptocurrency investors and regulators to enhance their understanding of cryptocurrency markets and the financial effects of the COVID-19 pandemic.