Open Access
Cambios en el comportamiento inversor ante nuevos escenarios monetarios
(Fundación de las Cajas de Ahorros (FUNCAS), 2023-03-01) Blasco de las Heras, Natividad; Corredor Casado, María Pilar; Gestión de Empresas; Enpresen Kudeaketa; Institute for Advanced Research in Business and Economics - INARBE
Este trabajo analiza los cambios que los inversores han presentado en sus decisiones de inversión ante las variaciones habidas en los últimos años en la política monetaria por parte del Banco Central Europeo. En una visión panorámica se observa que, si bien el efectivo y los depósitos son los instrumentos de ahorro más importantes para los inversores, la subida de tipos de interés iniciada en junio de 2022 está corrigiendo este efecto, moviendo la demanda de activos hacia los valores representativos de deuda a la vez que disminuye la solicitud de crédito por parte de los hogares. Destaca, asimismo, desde el período de pandemia , el crecimiento de las participaciones en fondos de inversión, especialmente en los vinculados a activos internacionales. Por otro lado, observamos también que el sentimiento del inversor fluctúa durante el período analizado, pasando del pesimismo durante el período de pandemia al optimismo en el período inflacionario posterior a la pandemia, y retornando a un cierto pesimismo con la subida de tipos. Estos vaivenes impactan, finalmente, en los volúmenes de los depósitos y los valores de deuda, así como en las acciones cotizadas y en su rentabilidad.
Open Access
Does herding affect volatility? Implications for the Spanish stock market
(Taylor & Francis, 2012) Blasco de las Heras, Natividad; Corredor Casado, María Pilar; Ferreruela Garcés, Sandra; Gestión de Empresas; Enpresen Kudeaketa
According to rational expectation models, uninformed or liquidity trading make market price volatility rise. This paper sets out to analyze the impact of herding, which may be interpreted as one of the components of uninformed trading, on the volatility of the Spanish stock market. Herding is examined at the intraday level, considered the most reliable sampling frequency for detecting this type of investor behavior, and measured using the Patterson and Sharma (2006) herding intensity measure. Different volatility measures (historical, realized and implied) are employed. The results confirm that herding has a direct linear impact on volatility for all of the volatility measures considered although the corresponding intensity is not always the same. In fact, herding variables seem to be useful in volatility forecasting and therefore in decision making when volatility is considered a key factor.
Open Access
The information environment, informed trading and volatility
(Routledge, 2017) Blasco de las Heras, Natividad; Corredor Casado, María Pilar; Gestión de Empresas; Enpresen Kudeaketa
The relation between informed trading and volatility is analyzed using the change in the proportion of informed transactions calculated through the probability of informed trading variable. The analysis relates to the Spanish market during 1997–2010, given that the Spanish market covers a very diverse range of listed companies. Some companies are comparable to companies listed on U.S. markets while others are smaller in size and have a lower trading volume and inferior quality of information. The methodology is based on a modification of the model proposed by Avramov, Chordia, and Goyal [2006]. The authors’ proposal incorporates the change in the proportion of informed transactions, calculated with intraday data, into the volatility model. The results are also presented using a conditional volatility model in which the change in the proportion of informed transactions is incorporated. These results attest to the influence of informed trading as a price-stabilizing factor in heavily traded and highly capitalized stocks (familiar stocks). Informed trading leads to a marked decrease in volatility for these particular stocks both in periods of calm and crisis.
Open Access
If the bitcoin market grows, size matters
(Taylor & Francis, 2021) Blasco de las Heras, Natividad; Corredor Casado, María Pilar; Gestión de Empresas; Enpresen Kudeaketa; Institute for Advanced Research in Business and Economics - INARBE
This paper studies the herding behaviour among different exchanges trading bitcoin. The analysis allows us to conclude that the size of the exchange is an influencing parameter. Since 2018, when the significant growth in the number of exchanges became a reality, smaller exchanges have shown strong herding behaviour, whereas large exchanges seem to respond to their own information and beliefs and lead the process of price definition. This result may originate some temporary profitable strategies in the process of evolution towards efficiency according to the Adaptive Markets Hypothesis.
Open Access
Can agents sensitive to cultural, organizational and environmental issues avoid herding?
(Elsevier, 2017) Blasco de las Heras, Natividad; Corredor Casado, María Pilar; Ferreruela Garcés, Sandra; Enpresen Kudeaketa; Institute for Advanced Research in Business and Economics - INARBE; Gestión de Empresas
Our findings indicate that herding behavior is affected not only by the cultural variables already discussed in the literature but also by other variables associated with organizational and environmental issues such as governance, technology, education and training, business style and conditions, and the development of equity and non-equity markets. Some of these act as catalysts, for example governance and technology. Others may have a corrective effect, such as the development of financial markets, business style, and education and training. If corrective factors are sufficiently developed, intentional herding practices could be reduced in the future.
Open Access
Is there an expiration effect in the bitcoin market?
(Elsevier, 2023) Blasco de las Heras, Natividad; Corredor Casado, María Pilar; Satrústegui, N.; Gestión de Empresas; Enpresen Kudeaketa; Institute for Advanced Research in Business and Economics - INARBE
This paper studies the monthly expiration effect in the bitcoin markets. The emergence of trading in bitcoin futures in regulated markets is an ideal occasion to test this effect on an asset with singular characteristics. Our results with intraday data show that around the time of maturity there are significant changes in the trading volume, volatility and return of bitcoin, an asset that is traded in many exchanges simultaneously. Therefore, there is a clear expiration effect related to bitcoin futures. The closer to the expiration time (shortly beforehand or afterwards), the more intense these effects are. However, in spite of these general results, the expiration effect is not homogeneous across exchanges and depends on the characteristics of the futures contract in question. Robustness tests are also applied to confirm the results. The increasing participation of institutional investors is consistent with our findings, particularly in relation to the expiration effects of cash-settled futures, as these contracts are more appealing for sophisticated investors who could be interested in arbitrage or speculative processes.
Open Access
Market sentiment: a key factor of investors' imitative behaviour
(Wiley, 2012) Blasco de las Heras, Natividad; Corredor Casado, María Pilar; Ferreruela Garcés, Sandra; Gestión de Empresas; Enpresen Kudeaketa; Gobierno de Navarra / Nafarroako Gobernua
The aim of this paper is to explore herding behavior among investors in order to determine its rational and emotional component factors and identify relationships among them. We apply causality tests to evaluate the impact of return and market sentiment on herding intensity. The herding intensity is quantified using the measure developed by Patterson and Sharma (2006). The research was conducted during the period 1997-2003 in the Spanish stock market, where the presence of herding has been confirmed. The results reveal that the herding intensity depends on past returns and sentiment or subjective assessments and confirm the presence of both a rational and an emotional factor.
Open Access
The witching week of herding on bitcoin exchanges
(Springer, 2022) Blasco de las Heras, Natividad; Corredor Casado, María Pilar; Satrústegui, N.; Enpresen Kudeaketa; Institute for Advanced Research in Business and Economics - INARBE; Gestión de Empresas
This paper analyses the herding behaviour among exchanges around the expiration of bitcoin futures traded on the Chicago Mercantile Exchange (CME). The database extends from December 2017 to October 2020, taking as a reference the main exchanges that trade bitcoin (Binance, Bitfinex, Bitstamp, Coinbase, itBit, Kraken, and Gemini) and using hourly closing prices and trading volumes in bitcoin and US dollars. Adapting the proposal of Chang, Cheng and Khorana (2000) (CCK) to test conditional herding, we obtain results that indicate that the herding effect is significant during the week before expiration. After expiration, the herding effect lasts for a few hours and disappears. Information overload originating, among other causes, from sophisticated investors¿ strategies may generate this mimetic behaviour. The results show the relevance of intraday data applied to specific events such as expiration since the unconditional analysis shows, in general, anti-herding behaviour throughout the period of study.
Open Access
Analysts herding: when does sentiment matter?
(Routledge, 2018) Blasco de las Heras, Natividad; Corredor Casado, María Pilar; Ferrer Zubiate, Elena; Enpresen Kudeaketa; Institute for Advanced Research in Business and Economics - INARBE; Gestión de Empresas
Herding among analysts emerges when analysts give priority to their peers’ opinions instead of their own beliefs or information. Some circumstances may enhance or restrain this type of behaviour. We postulate that market sentiment is one of them. This article analyses the effect that investor sentiment may have on analysts’ herding behaviour in the U.K. Our results suggest that ‘easy situations’ such as analysing easy-to-value securities and releasing optimistic information at times of high market sentiment clearly reduce herding practices, whereas herding clearly increases in difficult situations when analysts have to release negative information at moments of high investor sentiment.
Open Access
Detecting intentional herding: what lies beneath intraday data in the Spanish stock market
(Palgrave Macmillan, 2011) Blasco de las Heras, Natividad; Corredor Casado, María Pilar; Ferreruela Garcés, Sandra; Gestión de Empresas; Enpresen Kudeaketa
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.