Messis, Petros; Zapranis, Achilleas - In: Journal of Risk Finance 15 (2014), pp. 572-590
Purpose – This study aims to investigate the existence of herding in the Athens Stock Exchange over the 1995-2010 period and examine its effects on market volatility. Design/methodology/approach -Herding is examined over portfolios formed on beta and size of the selected stocks. The detection...