This paper examines intentional herding among institutional investors with a particular focus on the technology sector that was the driver of the “New Economy” in the United States during the dot-com bubble of the 1990s. Using data on technology stockholdings of 115 large institutional...

This paper examines the effect of presidential cycles on financial market correlations using monthly data for the U.S. stock and government bond returns over the historical period of 1791:09-2017:12. Utilizing a dynamic conditional correlation generalized autoregressive conditional...

This paper explores whether firm characteristics matter in determining the effect of investor herding on asset returns. We find that the level of herding alone does not command a significant effect on industry returns, implied by insignificant return spreads between industries that experience...

This study examines the relationship between investor sentiment and intraday return dynamics for safe haven assets, with particular focus on crash risk in these assets. Examining intraday returns for a wide range of safe havens proposed in the literature, we find that shocks to investor...

We examine the predictive power of market-based indicators over the positive and negative stock market bubbles via an application of the LPPLS Confidence TM Multi-scale Indicators to the S&P 500 index. We find that the LPPLS framework is able to successfully capture, ex-ante, some of the...

This study provides a novel perspective to the oil-stock market nexus by examining the predictive ability of oil return and volatility on stock market momentum in China. We find that oil return volatility serves as a strong predictor of industry momentum, even after controlling for stock market...

The aim of this study is to understand the effect of the recent novel coronavirus pandemic on investor herding behavior in global stock markets. Utilizing a daily newspaper-based index of financial uncertainty associated with infectious diseases, we examine the association between...