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dc.creatorBlasco de las Heras, Natividades_ES
dc.creatorCorredor Casado, María Pilares_ES
dc.creatorFerreruela Garcés, Sandraes_ES
dc.date.accessioned2015-10-27T12:09:43Z
dc.date.available2015-10-27T12:09:43Z
dc.date.issued2011
dc.identifier.issn0160-5682 (Print)
dc.identifier.issn1476-9360 (Electronic)
dc.identifier.urihttps://hdl.handle.net/2454/18649
dc.descriptionThis 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.pdfen
dc.description.abstractThis 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.sponsorshipN. 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.mimetypeapplication/pdfen
dc.language.isoengen
dc.publisherPalgrave Macmillanen
dc.relation.ispartofJournal of the Operational Research Society (2011) 62, 1056 – 1066en
dc.rights© 2011 Operational Research Society Ltd. All rights reserved.en
dc.subjectBehaviouren
dc.subjectHerdingen
dc.subjectFinanceen
dc.subjectTime seriesen
dc.titleDetecting intentional herding: what lies beneath intraday data in the Spanish stock marketen
dc.typeArtículo / Artikuluaes
dc.typeinfo:eu-repo/semantics/articleen
dc.contributor.departmentUniversidad Pública de Navarra. Departamento de Gestión de Empresases_ES
dc.contributor.departmentNafarroako Unibertsitate Publikoa. Enpresen Kudeaketa Sailaeu
dc.rights.accessRightsAcceso abierto / Sarbide irekiaes
dc.rights.accessRightsinfo:eu-repo/semantics/openAccessen
dc.identifier.doi10.1057/jors.2010.34
dc.relation.publisherversionhttps://doi.org/10.1057/jors.2010.34
dc.type.versionVersión aceptada / Onetsi den bertsioaes
dc.type.versioninfo:eu-repo/semantics/acceptedVersionen


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