Thin Trading and its Impact Upon Herding: The Case of Israel
22 Pages Posted: 18 Mar 2008
Date Written: July 2007
Abstract
Emerging markets have been found to accommodate higher herding levels compared to their developed counterparts, yet very little attention has been drawn to the possible impact of thin trading over herding estimations, even though these markets are often typified by thin trading. We address this issue by testing for herding in the Israeli market using the methodology proposed by Hwang and Salmon (2004). Results indicate that correcting for thin trading renders herding more persistent and smoother in its evolution, thus indicating that thin trading does confer an effect onto the measurement of herding.
Keywords: herding, thin trading, Israel
JEL Classification: G10, G15
Suggested Citation: Suggested Citation