|
|
|
|
||||
|
||||
Cross-Country Effects in Herding Behaviour: Evidence from Four South European MarketsFotini Economouaffiliation not provided to SSRN Alexandros KostakisUniversity of Manchester - Manchester Business School Nikolaos PhilippasUniversity of Piraeus - Department of Business Administration March 21, 2011 Journal of International Financial Markets, Institutions and Money, Forthcoming Abstract: This study provides comprehensive evidence testing for the existence of herding effects in the Portuguese, Italian, Spanish and Greek market, constructing a survivor-bias-free dataset of daily stock returns during the period January 1998 - December 2008. Moreover, it examines the potential asymmetries of herding effects with respect to the sign of the market return, trading activity and volatility. A novel feature of this study, with implications for financial stability in the Eurozone and international portfolio diversification, is to examine whether the cross-sectional dispersion of returns in one market is affected by the cross-sectional dispersion of returns in the rest three markets. Finally, it tests whether herding effects became more intense during the recent global financial crisis of 2007-2008.
Number of Pages in PDF File: 31 Keywords: Herding behaviour, PIGS, International financial markets, Cross-sectional dispersion of returns, Financial crisis JEL Classification: G01, G12, G15 Accepted Paper SeriesDate posted: March 26, 2011 ; Last revised: April 14, 2011Suggested CitationContact Information
|
|
|||||||||||||||||||||||||||||||
© 2013 Social Science Electronic Publishing, Inc. All Rights Reserved.
FAQ
Terms of Use
Privacy Policy
Copyright
This page was processed by apollo7 in 0.344 seconds
