The Herd Behavior Index: A new measure for the implied degree of co-movement in stock markets

We introduce a new and easy-to-calculate measure for the expected degree of herd behavior or co-movement between stock prices. This forward looking measure is model-independent and based on observed option data. It is baptized the Herd Behavior Index (HIX).

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Year of publication:	2012
Authors:	Dhaene, Jan ; Linders, Daniël ; Schoutens, Wim ; Vyncke, David
Published in:	Insurance: Mathematics and Economics. - Elsevier, ISSN 0167-6687. - Vol. 50.2012, 3, p. 357-370
Publisher:	Elsevier
Subject:	Comonotonicity \| Herd behavior \| Systemic risk \| Correlation \| VIX volatility index

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011046664