Empirical investigation of the causal relationships among herding, stock market returns, and illiquidity : evidence from major Asian markets
Year of publication: |
2014
|
---|---|
Authors: | Qiao, Zhuo ; Chiang, Thomas C. ; Lin Tan |
Published in: |
Review of Pacific Basin financial markets and policies. - Hackensack, NJ [u.a.] : World Scientific, ISSN 0219-0915, ZDB-ID 1465471-4. - Vol. 17.2014, 3, p. 1-27
|
Subject: | Herding behavior | stock return dispersion | Kalman filter | positive feedback | Asian markets | Herdenverhalten | Herding | Kapitaleinkommen | Capital income | Asien | Asia | Aktienmarkt | Stock market | Börsenkurs | Share price | Kausalanalyse | Causality analysis | Zustandsraummodell | State space model | Japan | Zeitreihenanalyse | Time series analysis | Kointegration | Cointegration |
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