In this paper we examine nine European stock market indices for indication of psychological barriers at round numbers. We test for uniformity in the trailing digits of the indices and use regression and GARCH analysis to assess the differential impact of being above or below a possible barrier....

Purpose: People often face constraints such as a lack of time or information in taking decisions, which leads them to use heuristics. In these situations, fast and frugal rules may be useful for making adaptive decisions with fewer resources, even if it leads to suboptimal choices. When applied...

This paper investigates the determinants of time-varying herd behaviour and their interaction effect with asymmetric market conditions. The sample used covers the stocks listed in Europe from December 1992 to December 2020. We expand the state-space model of Hwang and Salmon (2004) to capture...

In this paper, we apply two state-space models based on the cross-sectional dispersion of the factor sensitivities (betas) of securities for extracting the time series of herding towards the market, size/growth (SMB), value (HML), operating profitability (RMW), investment (CMA) and momentum...