investigated the presence and the change of herding behaviour in the US S%P100 and US DJIA stock markets during January 2000 to … July 2012. Results provide strong and coherent evidence on the occurrence of herding at only daily frequency. In particular …, the findings indicated a significant change in herding tendency across sub-periods of the subprime crisis. The different …

This paper examines the existence of herding in the US market. We study the turnover effect on herding movement by … are inconclusive about the presence of herding in the US financial market. However, we find that trading volume can … trigger herding. By applying VAR and Granger causality tests, we find a strong link between herding and trading volume in both …

-known market phenomena: the heavy tails observed in the distribution of stock market returns on one hand and 'herding' behavior in …

to the feedback of these news on the agents’ strategies into collective transient herding regimes. These ingredients … simple reconciliation of the two opposite (herding versus fundamental) proposals for the origin of crashes within a single …

Lux–Marchesi model have been used. We show that a simple herding model with only four parameters leads to a quantitative …

herding regime. After this self-amplified exuberance, the price has reached an unsustainable high value, being corrected by a … reconciliation of the two opposite (herding versus fundamental) proposals for the origin of crashes within a single framework and …

The purpose of this research is to explore the herding phenomenon during the Asian crisis of 1997 using intraday data … and a herding intensity measure that is free of the bias inherent in other measures. The findings suggest that the crisis … did not affect herding intensity to the same extent across all stocks, the largest and most persistent impact of the …