A Very Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix

Herding behaviour in cryptocurrencies

How the cryptocurrency market has performed during COVID 19? A multifractal analysis.

This paper offers two main innovations. First, we construct a global fear index (GFI) for the COVID-19 pandemic to support economic, financial, and policy analyses in this area. Second, we demonstr...

https://www.tandfonline.com/doi/pdf/10.1080/1540496X.2020.1785424

Constructing a Global Fear Index for the COVID-19 Pandemic

Purpose – The purpose of this paper is to provide a review of theory and empirical evidence on herding behavior in financial markets. Design/methodology/approach – Review and discussion of the literature. Findings – More than two decades of empirical and theoretical research have provided a significant insight on investor herding behavior. Research limitations/implications – The discussion indicates that there are still open issues and areas with inconclusive evidence, e.g. the author knows relatively little for markets other than equity markets. Practical implications – The paper may need empirical methodologies to evaluate herding that address current limitations. Originality/value – The paper reviews recent empirical evidence and identifies open issues for future research.

Herding in financial markets: a review of the literature

This study provides comprehensive evidence testing for the existence of herding effects in the Portuguese, Italian, Spanish and Greek market, constructing a survivor-bias-free dataset of daily stock returns during the period January 1998 - December 2008. Moreover, it examines the potential asymmetries of herding effects with respect to the sign of the market return, trading activity and volatility. A novel feature of this study, with implications for financial stability in the Eurozone and international portfolio diversification, is to examine whether the cross-sectional dispersion of returns in one market is affected by the cross-sectional dispersion of returns in the rest three markets. Finally, it tests whether herding effects became more intense during the recent global financial crisis of 2007-2008.

Cross-Country Effects in Herding Behaviour: Evidence from Four South European Markets

/pdf/cross-country-effects-in-herding-behaviour-evidence-from-4j2nobpqx7.pdf

Cross-country effects in herding behaviour: Evidence from four south European markets

Herding behavior in REITs: Novel tests and the role of financial crisis

In this article, we examine herding in three developed stock markets testing for the impact of investors’ ‘fear’ on herding estimations. To this end, we employ daily data of all listed stocks from ...

Fotini Economou

Papers

Cross-Country Effects in Herding Behaviour: Evidence from Four South European Markets

Cross-country effects in herding behaviour: Evidence from four south European markets

Herding behavior in REITs: Novel tests and the role of financial crisis

Investors’ fear and herding in the stock market

Economic freedom and asymmetric crisis effects on FDI inflows: The case of four South European economies