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Detecting intentional herding: what lies beneath intraday data in the Spanish stock market
dc.creator | Blasco de las Heras, Natividad | es_ES |
dc.creator | Corredor Casado, María Pilar | es_ES |
dc.creator | Ferreruela Garcés, Sandra | es_ES |
dc.date.accessioned | 2015-10-27T12:09:43Z | |
dc.date.available | 2015-10-27T12:09:43Z | |
dc.date.issued | 2011 | |
dc.identifier.issn | 0160-5682 (Print) | |
dc.identifier.issn | 1476-9360 (Electronic) | |
dc.identifier.uri | https://hdl.handle.net/2454/18649 | |
dc.description | This is a post-peer-review, pre-copyedit version of an article published in Journal of Operational Research Society. The definitive publisher-authenticated version [Blasco, N., Corredor, P. and Ferreruela, S. (2011): Detecting intentional herding: what lies beneath intraday data in the Spanish stock market. Journal of the Operational Research Society 62, 1056–1066. doi:10.1057/jors.2010.34] is available online at: http://www.palgrave-journals.com/jors/journal/v62/n6/pdf/jors201034a.pdf | en |
dc.description.abstract | This paper examines the intentional herd behaviour of market participants, using Li´s test to compare the probability distributions of the scaled cross-sectional deviation in returns in the intraday market with the cross-sectional deviation in returns in an “artificially created” market free of intentional herding effects. The analysis is carried out for both the overall market and a sample of the most representative stocks. Additionally, a bootstrap procedure is applied in order to gain a deeper understanding of the differences across the distributions under study. The results show that the Spanish market exhibits a significant intraday herding effect that is not detected using other traditional herding measures when familiar and heavily traded stocks are analysed. Furthermore, it is suggested that intentional herding is likely to be better revealed using intraday data, and that the use of a lower frequency data may obscure results revealing imitative behaviour in the market. | en |
dc.description.sponsorship | N. Blasco and S. Ferreruela wish to acknowledge the financial support of the Spanish Ministry of Education and Science (SEJ2006-14809-C03- 03/ECON), the Spanish Ministry of Science and Innovation (ECO2009- 12819-C03-02), ERDF funds, the Caja de Ahorros de la Inmaculada (Europe XXI Programme) and the Government of Aragon. P. Corredor is grateful for the financial support of the Spanish Ministry of Education and Science (SEJ2006-14809-C03-01), the Spanish Ministry of Science and Innovation (ECO2009-12819-C03-01), ERDF funds and the Government of Navarra. | en |
dc.format.mimetype | application/pdf | en |
dc.language.iso | eng | en |
dc.publisher | Palgrave Macmillan | en |
dc.relation.ispartof | Journal of the Operational Research Society (2011) 62, 1056 – 1066 | en |
dc.rights | © 2011 Operational Research Society Ltd. All rights reserved. | en |
dc.subject | Behaviour | en |
dc.subject | Herding | en |
dc.subject | Finance | en |
dc.subject | Time series | en |
dc.title | Detecting intentional herding: what lies beneath intraday data in the Spanish stock market | en |
dc.type | Artículo / Artikulua | es |
dc.type | info:eu-repo/semantics/article | en |
dc.contributor.department | Gestión de Empresas | es_ES |
dc.contributor.department | Enpresen Kudeaketa | eu |
dc.rights.accessRights | Acceso abierto / Sarbide irekia | es |
dc.rights.accessRights | info:eu-repo/semantics/openAccess | en |
dc.identifier.doi | 10.1057/jors.2010.34 | |
dc.relation.publisherversion | https://doi.org/10.1057/jors.2010.34 | |
dc.type.version | Versión aceptada / Onetsi den bertsioa | es |
dc.type.version | info:eu-repo/semantics/acceptedVersion | en |