Purpose –The purpose of this paper is to present and empirically test for the first time the hypothesis that herding in a market increases following the market's merger in an exchange group. Design/methodology/approach –The hypothesis is tested empirically in EURONEXT's four European equity...

This paper studies the prevalence of the disposition effect in individual traders in the Australian equities market. In particular, we examine the effect of demographics and Chinese ethnicity on trading behaviour. The relationship between ethnic background and trading behaviour has not...

Purpose – The purpose of this paper is to introduce the special issue of Review of Behavioural Finance entitled “Behavioural finance: the role of psychological factors in financial decisions”. Design/methodology/approach – The authors present a brief outline of the origins of behavioural...

The massive accumulation of foreign reserves by China has challenged the conventional thinking about prudent reserve management. This paper develops a behavioural model of optimal decision making under uncertainty to explain the observed Chinese reserve policy. Departing from the conventional...

We analyse the dependence of stock return cross-correlations on the data sampling frequency, known as the Epps effect: for high-resolution data the cross-correlations are significantly smaller than their asymptotic value as observed for daily data. The former description implies that a changing...

This paper investigates the behaviour of small investors in Hong Kong’s derivatives markets. The study period covers the global economic crisis of 2011- 2012, and we focus on small investors’ behaviour during and after the crisis. We attempt to identify and analyse the key factors that...

This study utilizes the windowed-test procedure of Hinich and Patterson (1995) to examine the data generating process of KLSE CI returns series. Unlike previous studies, the present one relates the evidence to the popular weak-form EMH and behavioural finance, with the hope of offering some...

In this study, we test whether the overconfidence bias explains several stylized market anomalous, including a short-term continuation (momentum), a long-term reversal in stock returns, high levels of trading volume and excessive volatility. Using data of French stocks market, we find empirical...

(paper is in Dutch) This study surveys the behavioural finance literature. It discusses both the literature that incorporates behavioural considerations into rational models, and the literature that concentrates on the role of prospect theory and the effect of cognitive-psychological mechanisms...

This paper applies log-periodogram estimators of the fractional difference parameter to the volatility of the US dollar exchange rate returns of 11 European currencies, and under temporal aggregation from an underlying half-hourly intra-day frequency. Particular attention is paid to the...