Correlated trades and herd behavior in the stock market

Autor:	Jurkatis, Simon, Kremer, Stephanie, Nautz, Dieter
Jazyk:	angličtina
Rok vydání:	2012
Předmět:	Institutional Trading G24 Wertpapierhandel Correlated Trading Model Simulation ddc:330 Herd Behavior Aktienmarkt Institutioneller Investor G11 Herdenverhalten Deutschland Korrelation C23 Schätzung
Popis:	Herd behavior is often viewed as a significant threat for the stability and effciency of financial markets. This paper sheds new light on the relevance of herd behavior for observed correlation of trades. We introduce numerical simulations of a herd model to derive theory-guided predictions regarding the impact of various aspects of uncertainty on herding intensity. We test the predictions using a novel data set including all real-time transactions of institutional investors in the German stock market. In light of the model simulations, empirical results strongly suggest that the observed correlation of trades is mainly due to the common reaction of investors to new public information and should not be misinterpreted as herd behavior.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=od______1687::7fdf9d782199a1ad0bab8d189e4f1a78 https://hdl.handle.net/10419/79564 Zobrazit plný text záznamu