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2012-05-22Buch DOI: 10.18452/4408
Correlated Trades and Herd Behavior in the Stock Market
dc.contributor.authorJurkatis, Simon
dc.contributor.authorKremer, Stephanie
dc.contributor.authorNautz, Dieter
dc.date.accessioned2017-06-16T00:40:07Z
dc.date.available2017-06-16T00:40:07Z
dc.date.created2012-06-08
dc.date.issued2012-05-22
dc.date.submitted2012-05-22
dc.identifier.issn1860-5664
dc.identifier.urihttp://edoc.hu-berlin.de/18452/5060
dc.description.abstractHerd behavior is often viewed as a significant threat for the stability and effciency of financial markets. This paper sheds new light on the relevance of herd behavior for observed correlation of trades. We introduce numerical simulations of a herd model to derive theory-guided predictions regarding the impact of various aspects of uncertainty on herding intensity. We test the predictions using a novel data set including all real-time transactions of institutional investors in the German stock market. In light of the model simulations, empirical results strongly suggest that the observed correlation of trades is mainly due to the common reaction of investors to new public information and should not be misinterpreted as herd behavior.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subjectHerd Behavioreng
dc.subjectInstitutional Tradingeng
dc.subjectCorrelated Tradingeng
dc.subjectModel Simulationeng
dc.subject.ddc310 Statistik
dc.subject.ddc330 Wirtschaft
dc.titleCorrelated Trades and Herd Behavior in the Stock Market
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-100202429
dc.identifier.doihttp://dx.doi.org/10.18452/4408
local.edoc.container-titleSonderforschungsbereich 649: Ökonomisches Risiko
local.edoc.pages31
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume2012
local.edoc.container-issue35
local.edoc.container-year2012
local.edoc.container-erstkatid2195055-6

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