This study provides comprehensive evidence testing for the existence of herding effects in the Portuguese, Italian … - December 2008. Moreover, it examines the potential asymmetries of herding effects with respect to the sign of the market return … by the cross-sectional dispersion of returns in the rest three markets. Finally, it tests whether herding effects became …

initially we find no evidence of herding. When, however, we condition on the daily liquidity of stocks we find significant …-periods. The only exception is Germany for which there is very weak evidence of herding. Variance decomposition tests indicate that …

and chartists, comprises four features: (i) price determination by excess demand; (ii) a herding mechanism that gives rise …