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The Relationship between Investors Herding and Volatility (Evidence from Tehran Stock Exchange)

Shams, Shahabeddin; Golbabaei, Ali - 2021

This study examines the effect of Herding in different states (low, high and extreme volatility) in Tehran Stock … Exchange during the years 2009-2013 using Chang et al. (2000) and Balcilar et al. (2013) models. In this survey, herding is … tested under 3 market regimes. The results don't show evidence of herding in the market using a static model (Chang et al …

Persistent link: https://www.econbiz.de/10013215838

The Disappearing Index Effect

Greenwood, Robin; Sammon, Marco C. - National Bureau of Economic Research - 2022

The abnormal return associated with a stock being added to the S&P 500 has fallen from an average of 3.4% in the 1980s and 7.6% in the 1990s to 0.8% over the past decade. This has occurred despite a significant increase in the percentage of stock market assets linked to the index. A similar...

Persistent link: https://www.econbiz.de/10013477240

The Use of Conditional Orders and the Disposition Effect in Stock Market

Lepone, Grace - 2019

This paper examines the impact of conditional order usage on the disposition effect. Taking advantage of proprietary Australian stock brokerage data, we employ the propensity score method to create a control group. This methodology enables us to isolate the impact of conditional orders from...

Persistent link: https://www.econbiz.de/10012894733

Momentum and disposition effect in the US stock market

Sadhwani, Ranjeeta; Bhayo, M. U. R. - In: Cogent economics & finance 9 (2021) 1, pp. 1-18

This paper examines whether momentum drives the disposition effect and vice versa in the US stock market. The results from the analysis of the Fama-Macbethregressions show that the disposition effect drives momentum but not the other way around. Furthermore, we find that this relationship varies...

Persistent link: https://www.econbiz.de/10013184447

News Diffusion in Social Networks and Stock Market Reactions

Hirshleifer, David; Peng, Lin; Wang, Qiguang - National Bureau of Economic Research - 2023

We study how the social transmission of public news influences investors' beliefs and securities markets. Using an extensive dataset to measure investor social networks, we find that earnings announcements from firms in higher-centrality locations generate stronger immediate price and trading...

Persistent link: https://www.econbiz.de/10013537754

Determinants of South African asset market co-movement : evidence from investor sentiment and changing market conditions

Moodley, Fabian; Ferreira-Schenk, Sune; Matlhaku, Kago - In: Risks : open access journal 13 (2025) 1, pp. 1-34

The co-movement of multi-asset markets in emerging markets has become an important determinant for investors seeking diversified portfolios and enhanced portfolio returns. Despite this, studies have failed to examine the determinants of the co-movement of multi-asset markets such as investor...

Persistent link: https://www.econbiz.de/10015333617

Herding During the Stock Market Bubble : An Intraday Analysis

Patterson, Douglas M. - 2015

This paper tests for the presence of herding on the New York Stock Exchange (NYSE). We measure the degree of herding … from 1998-2001, the “bubble” period and its collapse. We estimate the incidence of herding by applying a test of serial … function efficiently for the most part. However, the market does show some evidence of systemic herding. Second, the herding …

Persistent link: https://www.econbiz.de/10013023145

Herding behavior in the Chinese stock market and the impact of COVID-19

Maquieira, Carlos; Espinosa Méndez, Christian - In: Estudios de economía 49 (2022) 2, pp. 199-229

We analyze herding behavior in the Chinese stock markets in the context of the COVID-19 pandemic using the cross …-sectional absolute deviation (CSAD) model proposed by Chang et al. (2000) to detect herding behavior in the time period between January … (SHSE) and Shenzhen Stock Exchange (SZSE) in China. We report the presence of herding behavior during the period under study …

Persistent link: https://www.econbiz.de/10013489813

"Rational" or "Intuitive" : are behavioral biases correlated across stock market investors?

Kudryavtsev, Andrey; Cohen, Gil; Hon-Snir, Shlomit - In: Contemporary economics 7 (2013) 2, pp. 31-53

Human judgments are systematically affected by various biases and distortions. The main goal of our study is to analyze the effects of five well-documented behavioral biases—namely, the disposition effect, herd behavior, availability heuristic, gambler’s fallacy and hot hand fallacy—on the...

Persistent link: https://www.econbiz.de/10009770254

Why a simple herding model may generate the stylized facts of daily returns : explanation and estimation

Franke, Reiner; Westerhoff, Frank H. - 2011

and chartists, comprises four features: (i) price determination by excess demand; (ii) a herding mechanism that gives rise …

Persistent link: https://www.econbiz.de/10009424773