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2013-08-07Buch DOI: 10.18452/4476
Herding in financial markets
dc.contributor.authorBoortz, Christopher
dc.contributor.authorJurkatis, Simon
dc.contributor.authorKremer, Stephanie
dc.contributor.authorNautz, Dieter
dc.date.accessioned2017-06-16T00:53:35Z
dc.date.available2017-06-16T00:53:35Z
dc.date.created2013-09-09
dc.date.issued2013-08-07
dc.date.submitted2013-08-07
dc.identifier.issn1860-5664
dc.identifier.urihttp://edoc.hu-berlin.de/18452/5128
dc.description.abstractDue to data limitations and the absence of testable, model-based predictions, theory and evidence on herd behavior are only loosely connected. This paper attempts to close this gap in the herding literature. From a theoretical perspective, we use numerical simulations of a herd model to derive new, theory-based predictions for aggregate herding intensity. From an empirical perspective, we employ high-frequency, investor-specific trading data to test the theory-implied impact of information risk and market stress on herding. Confirming model predictions, our results show that herding intensity increases with information risk. In contrast, herding measures estimated for the financial crisis period cannot be explained by the herd model. This suggests that the correlation of trades observed during the crisis 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.subjectHerd Behavioreng
dc.subjectInstitutional Tradingeng
dc.subjectModel Simulationeng
dc.subject.ddc310 Statistik
dc.subject.ddc330 Wirtschaft
dc.titleHerding in financial markets
dc.typebook
dc.subtitleBridging the gap between theory and evidence
dc.identifier.urnurn:nbn:de:kobv:11-100212364
dc.identifier.doihttp://dx.doi.org/10.18452/4476
local.edoc.container-titleSonderforschungsbereich 649: Ökonomisches Risiko
local.edoc.pages34
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume2013
local.edoc.container-issue36
local.edoc.container-year2013
local.edoc.container-erstkatid2195055-6

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