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Option prices and model-free measurement of implied herd behavior in stock markets

Linders, Daniël; Dhaene, Jan; Schoutens, Wim - 2015 - This version: December 20, 2014

date. The construction of these measures is based on the theory of comonotonicity. Both types of herd behavior indices are …

Persistent link: https://www.econbiz.de/10010464790

Market stress and herding

Hwang, Soosung; Salmon, Mark - In: Journal of empirical finance 11 (2004) 4, pp. 585-616

Persistent link: https://www.econbiz.de/10002145312

Announcement effects, herd mentality, and stock market volatility

Falatoon, Hamid; Safarzadeh, Mohammed R. - In: Rivista internazionale di scienze economiche e … 48 (2001) 4, pp. 475-485

Persistent link: https://www.econbiz.de/10001636270

Market stress and herding

Hwang, Soosung; Salmon, Mark H. - 2004

Persistent link: https://www.econbiz.de/10002045646

The Oil Shock to Chinese Stock Market After Year 2003 Underreacting, Herding, or Both

Xie, Haibin - 2011

This paper reinvestigates the predictability of equity market index returns of Chinese Shanghai Stock Exchange Composite index (SSEC) using the changes in oil prices. We find significant oil effect on the predictability of SSEC returns after the year 2003. The effect can neither be explained by...

Persistent link: https://www.econbiz.de/10013125844

Market stress and herding : a new approach to the cryptocurrency market

Raimundo Júnior, Gerson de Souza; Palazzi, Rafael Baptista - In: The journal of behavioral finance : a publication of … 23 (2022) 1, pp. 43-57

Persistent link: https://www.econbiz.de/10012802010

The Relationship between Investors Herding and Volatility (Evidence from Tehran Stock Exchange)

Shams, Shahabeddin; Golbabaei, Ali - 2021

This study examines the effect of Herding in different states (low, high and extreme volatility) in Tehran Stock … herding behavior under the low volatility regime … Exchange during the years 2009-2013 using Chang et al. (2000) and Balcilar et al. (2013) models. In this survey, herding is …

Persistent link: https://www.econbiz.de/10013215838

Herding behavior during the Covid-19 pandemic : a comparison between Asian and European stock markets based on intraday multifractality

Aslam, Faheem; Ferreira, Paulo; Ali, Haider; Kauser, Sumera - In: Eurasian economic review : a journal in applied … 12 (2022) 2, pp. 333-359

Persistent link: https://www.econbiz.de/10013263377

Herding behaviour theory and oil price dispersion : a sectoral analysis of the Gulf Cooperation Council stock market

Medhioub, Imed; Chaffai, Mustapha - In: The journal of asset management : a major new, … 22 (2021) 1, pp. 43-50

Persistent link: https://www.econbiz.de/10012487593

Analysis of financial contagion in influential African stock markets

Aderajo, Oluwatosin Mary; Olaniran, Oladotun Daniel - In: Future Business Journal 7 (2021), pp. 1-9

variance estimation shows that the crisis period is characterized by substantial increases in volatility, establishing that the … crisis period, an increase in correlation (contagion) existed, while a continued correlation (herding) existed in the post …

Persistent link: https://www.econbiz.de/10012493750