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
Southern Illinois University at Carbondale - Department of Finance
Finance Letters, Vol. 1, No. 1, 2003
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, G15Accepted Paper Series
Date posted: June 6, 2003
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