understand the volatility by using Hurst exponent. The analysis focuses on finding the average volatility of the time series of … each interval and calculates its volatility functions and determines the Hurst exponents based on the power law of … volatility functions. The study also shows the past evidence of financial crashes by using various methods like Long Memory Tail …

herding behavior and market risk. Moreover, speculators' orders depend on price trends, market misalignments and fundamental … news. Using a mix of analytical and numerical tools, we show that a herding-induced market entry wave may amplify excess … demand, triggering lasting volatility outbursts. Eventually, however, higher stock market risk reduces stock market …

We look into determinants (volatility, crises, sentiment and the U.S. ‘fear’ index) of herding using BRICS as our … relationship between volatility and CSAD (cross sectional absolute deviation)/herding, a lower CSAD (movement in a specific … direction) brings about less volatility. However, a high volatility amplifies herding (reduces CSAD), especially in China …

component of demand that is caused by peer benchmarking. We find that these peer effects generate excess stock return volatility …

, while studying the relation between the herding behavior phenomenon and market profitability and volatility. The results …, results are less visible when one looks at the causality relation between herding and market volatility. This paper …The present work seeks to analyze the herding behavior phenomenon as a destabilizing factor of the capital market …

The concept of fund manager herding has been studied in depth, and the most widely used measure applied to this market … with the null hypothesis of no herding. The main findings confirm the bias inherent in the LSV measure, the non … herding activity. However, using random portfolio methodology a non-parametric test is proposed that corrects some of the …

explicit nature of the dynamics of the CBS we show that the introduction of herding modifies the random walk to an ARIMA($0 …