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2014 | 15 | 2 | 17-26
Article title

HERD BEHAVIOR IN INTERNATIONAL MARKET

Content
Title variants
Languages of publication
EN
Abstracts
EN
According to literature, herding can be observed not only within single stock market, but also on international level. Poland has entrance to Euro Zone in perspective, so especially interesting is answer to the question whether herding is present on the stock markets of candidate countries to Euro Zone? Moreover, whether this tendency will be more noticeable in periods of higher volatility than during the periods of relative market stability, as suggested by psychological theories. To find the measure of herd tendency we can refer both to neoclassical and behavioral theories. Basing on models grounded in rationality assumption, there is a need to assume informative efficiency of markets. Thus, it can be expected that aggregated changes in stock markets should be reflected in the process of prices formation. Behavioral literature pointed that if tendency of herding is present on international level, it can be assumed that markets ‘in average’ will behave in the similar way. Following this idea the size of deviation of the given series from the ‘average’ can be taken as the measure of herding activity in aggregated market. Methodology created by Christie, Huang and Chang, Cheng, Khoran will be used as a starting point for the consideration of this problem. To propose more perfect measure of herding, in the paper this approach will be developed by using alternative methodology for average and measure of deviations construction. Those improvements will cause that, theoretical models will come closer to reality and will take into account both sociological and behavioral tendencies present in investors activity.
Year
Volume
15
Issue
2
Pages
17-26
Physical description
Dates
published
2014
Contributors
  • Department of Econometrics and Statistics, Warsaw University
References
  • Blasco N., Ferreruela S. (2008) Testing Intentional Herding in Familiar Stocks: An Experiment in an International Context, The Journal of Behavioral Finance.
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  • Chang E. C., Cheng J. W., Khoran, A. (2000) An examination of herd behavior in equity markets: An international perspective, Journal of Banking and Finance, Vol. 24.
  • Christie W. G., Huang R. D. (1995) Following the pied piper: Do individual returns herd around the market?, Financial Analyst Journal, Vol. 51 (4).
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Document Type
Publication order reference
Identifiers
YADDA identifier
bwmeta1.element.desklight-75151115-47fb-4388-a8b4-ed4c0409797a
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