Do Investors Follow the Herd in Option Markets?

Bernales, Alejandro, Verousis, Thanos, Voukelatos, Nikolaos (2016) Do Investors Follow the Herd in Option Markets? Journal of Banking and Finance, . ISSN 0378-4266. E-ISSN 1872-6372. (doi:10.1016/j.jbankfin.2016.02.002) (Access to this publication is currently restricted. You may be able to access a copy if URLs are provided) (KAR id:54000)

PDF Author's Accepted Manuscript Language: English Restricted to Repository staff only This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.

PDF (PDF no coversheet) Author's Accepted Manuscript Language: English Restricted to Repository staff only

Official URL: http://dx.doi.org/10.1016/j.jbankfin.2016.02.002

Abstract

We investigate the previously unexplored herding behaviour of investors in option markets, by examining equity option contracts traded in the US between 1996 and 2012. We document strong herding effects in option trading activity that are conditional on a set of systematic factors related to periods of market stress. More specifically, we find that option investors tend to herd during periods of high market volatility risk, on dates of macroeconomic announcements, during the financial crisis of 2008, when a large number of market option positions is either opened or closed, and during periods of a large average dispersion of analysts' forecasts.

Item Type:	Article
DOI/Identification number:	10.1016/j.jbankfin.2016.02.002
Uncontrolled keywords:	Herding; Cross-Sectional Dispersion; Options; G14; G11
Subjects:	H Social Sciences > HG Finance
Divisions:	Divisions > Kent Business School - Division > Department of Accounting and Finance
Depositing User:	Nikolaos Voukelatos
Date Deposited:	04 Feb 2016 09:33 UTC
Last Modified:	04 Jul 2023 14:52 UTC
Resource URI:	https://kar.kent.ac.uk/id/eprint/54000 (The current URI for this page, for reference purposes)

University of Kent Author Information

Voukelatos, Nikolaos.

Creator's ORCID:	https://orcid.org/0000-0001-8272-2901
CReDIT Contributor Roles:

Depositors only (login required):

Altmetric

Download Statistics

Total unique views for this document in KAR since July 2020. For more details click on the image.