Zhang, Hang; Giouvris, Evangelos - In: Journal of risk and financial management : JRFM 15 (2022) 3, pp. 1-42
financial crisis (only China was affected). There was no herding during the European debt crisis and COVID. With regard to the … direction) brings about less volatility. However, a high volatility amplifies herding (reduces CSAD), especially in China … China. In addition, Granger causality analysis indicates a two-way relationship between the U.S. ‘fear’ index and CSAD/herding …