We propose a new approach to detecting and measuring herding which is based on the cross-sectional dispersion of the … factor sensitivity of assets within a given market. This method enables us to evaluate if there is herding towards particular … sectors or styles in the market including the market index itself and critically we can also separate such herding from common …

Purpose –The purpose of this paper is to present and empirically test for the first time the hypothesis that herding in … herding. Tests are conducted for each market for the period prior to and after its merger into EURONEXT, controlling for a … indicate that, with the exception of Portugal, herding grows in significance, yet declines in momentum post-merger. The authors …

analysis using the Heterogeneous Agent Model extended with the selected findings from behavioural finance: herding …

costs. A market premium, a value premium associated with mean reversion in stock returns, and a volatility premium which … performance is influenced by the extent of investors herding towards the common trend in stock returns. …

bubbles, crashes, and volatility are surveyed and a promising direction for future research, based on a theory of short … versus realized volatility, generation of an extreme events line (EEL), and a crash intensity comparison metric. These …

herding all contribute to market volatility in price and return and volatility clustering, but their impact are different. On … absolute and squared returns increase with herding and trend chasing based on long time horizon. On the other hand, the … switching reduces the return volatility and an initial increase in switching reduces the price volatility and increases the …

Aid ineffectiveness, fragmentation, and volatility have already been highlighted by scholars and OECD studies. Far … fewer studies have been devoted to another problem of capital flows: herding behaviour. Building upon a methodology applied … to financial markets, where herding is a common feature, this article attempts to measure herding behaviour in the …

article finds that aid donors herd similarly to portfolio funds on financial markets. It also estimates the causes of herding … have no effect. Finally, identified causes of herding explain little of its overall level, suggesting strategic motives …

Stock markets can be characterized by fat tails in the volatility distribution, clustering of volatilities and slow … Lux–Marchesi model have been used. We show that a simple herding model with only four parameters leads to a quantitative … description of the data. As a new type of data we describe the volatility cluster by the waiting time distribution, which can be …