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Herding Behavior in European Futures Markets


Kimberly C. Gleason


University of Pittsburgh - Finance Group

Chun I. Lee


Loyola Marymount University - Department of Finance and Computer Information Systems

Ike Mathur


Southern Illinois University at Carbondale - Department of Finance

Finance Letters, Vol. 1, No. 1, 2003

Abstract:     
The research on herding behavior in common stocks is extended to contracts traded on European futures markets. We use the Christie and Huang (1995) herding model to identify the possibility of the existence of herding behavior in thirteen commodity futures contracts traded on three European exchanges. The results support the conclusion that herding behavior is not present in futures markets.

Keywords: Herding Behavior, European Futures Exchanges

JEL Classification: G13, G14, G15

Accepted Paper Series


Date posted: June 6, 2003  

Suggested Citation

Gleason, Kimberly C., Lee, Chun I. I. and Mathur, Ike, Herding Behavior in European Futures Markets. Finance Letters, Vol. 1, No. 1, 2003. Available at SSRN: http://ssrn.com/abstract=412585

Contact Information

Kimberly C. Gleason (Contact Author)
University of Pittsburgh - Finance Group ( email )
372 Mervis Hall
Pittsburgh, PA 15260
United States
Chun I. Lee
Loyola Marymount University - Department of Finance and Computer Information Systems ( email )
Los Angeles, CA 90045
United States
Ike Mathur
Southern Illinois University at Carbondale - Department of Finance ( email )
Mailcode 4626
Carbondale, IL 62901-4626
United States
618-453-1421 (Phone)
618-453-5626 (Fax)
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