We examine the existence of herding and anti-herding (positive herding) behavior in major European benchmarking stock market indices. Following the recent events that unfolded in the Eurozone sovereign debt crisis our analysis is further expanded on two subsamples namely north and south European...

Typical issues of multivariate GARCH models are dimensionality, which is time consuming, both in terms of computations and their programming, and the availability of very few distributional schemes, since linear correlations are a natural dependence measure, only if the joint distribution of the...

The recent financial crisis clearly demonstrated that herding behavior incorporates an unhedgeable systemic risk, exposing investors and financial institutions to market prices and valuations, which cannot be solely explained by fundamentals. We examine the existence of herding behavior of the...