Now showing items 1-3 of 3
Detecting intentional herding: what lies beneath intraday data in the Spanish stock market
(Palgrave Macmillan, 2011) Artículo / Artikulua,
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 ...
Market sentiment: a key factor of investors' imitative behaviour
(Wiley, 2012) Artículo / Artikulua,
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 ...
Does herding affect volatility? Implications for the Spanish stock market
(Taylor & Francis, 2012) Artículo / Artikulua,
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 ...