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The purpose of the study is to examine the impact of uncertainty and return of classical financial assets on herding behaviour in the cryptocurrency market. Also, herding in this market and the impact of the COVID-19 pandemic have been investigated.

The study uses quantile regression to estimate the models. Daily data from ten major cryptocurrencies, the CCI30 index and three volatility indices (VIX, EVZ and GVZ), spot gold price, the MSCI and the US dollar indices from January 2018 to December 2023 have been used.

The findings show evidence of anti-herding during periods of simultaneous high volatility in stock and currency markets, as well as in the gold and currency markets. However, the results support herding in the whole sample period, which reduces when including the COVID-19 pandemic effect. In addition, the study does not support the relationship between returns of traditional financial assets and herding in the cryptocurrency market.

The result of the study can be useful for investors, particularly the managers of the novel class of ETFs, to make their investment decisions more consciously, regarding uncertainty in other financial markets. Also, the findings provide some insight to regulators regarding the herding behaviour in the cryptocurrency market and its influences on the financial system’s stability.

To the best of the authors’ knowledge, for the first time, this study examines the impact of concurrent high uncertainty conditions in classical financial markets on herding behaviour in the cryptocurrency market.