Zhou, Rhea Tingyu; Lai, Rose Neng - In: Journal of Empirical Finance 16 (2009) 3, pp. 388-393
This paper expands on the existing literature on information asymmetry by testing if herding exists. We test herd behavior in a transparent and order-driven market using intraday data. We propose (1) a modification in the herding measure, (2) that investors tend to herd more based on fundamental...