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An empirical analysis of herd behavior in global stock markets
Thomas C. Chiang,Dazhi Zheng +1 more
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In this paper, the authors examined herding behavior in global markets and found evidence of herding in advanced stock markets (except the US) and in Asian markets, with the exception of the US and Latin American markets.Abstract:
This paper examines herding behavior in global markets. By applying daily data for 18 countries from May 25, 1988, through April 24, 2009, we find evidence of herding in advanced stock markets (except the US) and in Asian markets. No evidence of herding is found in Latin American markets. Evidence suggests that stock return dispersions in the US play a significant role in explaining the non-US market’s herding activity. With the exceptions of the US and Latin American markets, herding is present in both up and down markets, although herding asymmetry is more profound in Asian markets during rising markets. Evidence suggests that crisis triggers herding activity in the crisis country of origin and then produces a contagion effect, which spreads the crisis to neighboring countries. During crisis periods, we find supportive evidence for herding formation in the US and Latin American markets.read more
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Long and short term dynamic causal transmission amongst international stock markets
TL;DR: In this article, the authors investigated the dynamic causal linkages among nine major international stock price indexes and found significant interdependencies between the established OECD and the Asian markets, and also the leadership of the US and UK markets over the short and long run.
Journal ArticleDOI
Investor herding behaviour of Chinese stock market
TL;DR: In this article, the authors examined the existence and prevalence of investor herding behavior in a segmented market setting, the Chinese A and B stock markets, and found that investors exhibit different levels of herding behaviour, in particular, herding strongly exists in the B-share markets.
Posted Content
Cross-Country Effects in Herding Behaviour: Evidence from Four South European Markets
TL;DR: In this paper, the authors provide 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.
Journal ArticleDOI
Cross-country effects in herding behaviour: Evidence from four south European markets
TL;DR: In this article, the authors provide 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.
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Herding on Fundamental Information: A Comparative Study
TL;DR: The authors found that US investors tend to herd during days when important macro data are released, and that there have been herding spillover effects from the US to the UK during earlier financial crises.
References
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ReportDOI
A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix
Whitney K. Newey,Kenneth D. West +1 more
TL;DR: In this article, a simple method of calculating a heteroskedasticity and autocorrelation consistent covariance matrix that is positive semi-definite by construction is described.
Book
A Guide to Econometrics
TL;DR: The fourth edition of "A Guide to Econometrics" provides an overview of the subject and an intuitive feel for its concepts and techniques without the notation and technical detail often characteristic of econometric textbooks.
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A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelationconsistent Covariance Matrix
TL;DR: In this article, a simple method of calculating a heteroskedasticity and autocorrelation consistent covariance matrix that is positive semi-definite by construction is described.
Posted Content
A Theory of Fads, Fashion, Custom, and Cultural Change as Informational Cascades
TL;DR: It is argued that localized conformity of behavior and the fragility of mass behaviors can be explained by informational cascades.
Journal ArticleDOI
A Theory of Fads, Fashion, Custom, and Cultural Change as Informational Cascades
TL;DR: In this paper, the authors argue that localized conformity of behavior and the fragility of mass behaviors can be explained by informational cascades, where an individual, having observed the actions of those ahead of him, to follow the behavior of the preceding individual without regard to his own information.