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Testing for herding in the Athens Stock Exchange during the crisis period

Economou, Fotini, Katsikas, Epameinondas, Vickers, Gregory (2016) Testing for herding in the Athens Stock Exchange during the crisis period. Finance Research Letters, 18 . pp. 334-341. ISSN 1544-6123. (doi:10.1016/j.frl.2016.05.011) (KAR id:55491)

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Abstract

This paper investigates herding behavior in the Athens Stock Exchange focusing on the recent crisis period. We employ a survivor bias free dataset of all listed stocks from 2007 to May 2015. We apply the cross sectional dispersion approach and provide results that extend and are comparable with previous studies regarding the Greek stock market. The empirical results indicate the presence of herding under different market states. Employing the quantile regression method, there is herding in the high quantiles of the cross sectional return dispersion. Finally, we document the impact of size effect on herding estimations.

Item Type: Article
DOI/Identification number: 10.1016/j.frl.2016.05.011
Uncontrolled keywords: Keywords: herding; cross sectional dispersion; Athens Stock Exchange
Subjects: H Social Sciences > H Social Sciences (General)
H Social Sciences > HG Finance
Divisions: Divisions > Kent Business School - Division > Department of Accounting and Finance
Depositing User: Epameinondas Katsikas
Date Deposited: 17 May 2016 20:36 UTC
Last Modified: 17 Aug 2022 12:20 UTC
Resource URI: https://kar.kent.ac.uk/id/eprint/55491 (The current URI for this page, for reference purposes)

University of Kent Author Information

Katsikas, Epameinondas.

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