| 来源类型 | Discussion paper
|
| 规范类型 | 论文
|
| 来源ID | DP4340
|
| DP4340 Market Stress and Herding |
| Mark Salmon; Soosung Hwang
|
| 发表日期 | 2004-04-23
|
| 出版年 | 2004
|
| 语种 | 英语
|
| 摘要 | We propose a new approach to detecting and measuring herding which is based on the cross-sectional dispersion of the factor sensitivity of assets within a given market. This method enables us to evaluate if there is herding towards particular sectors or styles in the market including the market index itself and critically we can also separate such herding from common movements in asset returns induced by movements in fundamentals. We apply the approach to an analysis of herding in the US and South Korean stock markets and find that herding towards the market shows significant movements and persistence independently from and given market conditions and macro factors. We find evidence of herding towards the market portfolio in both bull and bear markets. Contrary to common belief, the Asian Crisis and in particular the Russian Crisis reduced herding and are clearly identified as turning points in herding behaviour. |
| 主题 | Financial Economics
|
| 关键词 | Herding
Heterogenous beliefs
Cross-sectional volatility
|
| URL | https://cepr.org/publications/dp4340
|
| 来源智库 | Centre for Economic Policy Research (United Kingdom)
|
| 资源类型 | 智库出版物
|
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/533300
|
推荐引用方式
GB/T 7714 |
Mark Salmon,Soosung Hwang. DP4340 Market Stress and Herding. 2004.
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