Blasco de las Heras, NatividadCorredor Casado, María PilarFerreruela Garcés, Sandra2015-10-272015-10-2720121469-7688 (Print)1469-7696 (Electronic)10.1080/14697688.2010.516766https://academica-e.unavarra.es/handle/2454/18653This is an accepted manuscript of an article published by Taylor & Francis in Quantitative Finance on February 2012, available online: http://dx.doi.org/10.1080/14697688.2010.516766According 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.application/pdfeng© 2012 Taylor & FrancisHerdingStock marketVolatilityBehavioral financeinfo:eu-repo/semantics/articleinfo:eu-repo/semantics/openAccess