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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Official URL: http://dx.doi.org/10.1016/j.frl.2016.05.011 |
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 |
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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) |
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