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document differences in herding behavior of investor groups considering market capitalization, market conditions, and … funds) tend to herd on large (small) stocks; their herding behavior mostly exhibits a U shape (an inverse U shape) during …
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Assuming that investors can be foreign or local, do high-frequency trading (HFT) or not, and submit orders through a bank-owned or non-bank-owned broker, we associated trades to various investors. Then, building a panel vector autoregressive model, we analyzed the dynamic relation of these...
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