Vioto, Davide; Tunaru, Radu; Hasan, Iftekhar - 2022
-movement of world stock exchanges. This study also investigates the relationship between herding and systemic risk, suggesting … that herding increases when systemic risk increases. Granger causality tests and Johansen's vector error-correction model … provide solid empirical evidence of a strong interrelationship between herding and systemic risk, entailing that herding …