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

Andronikidi, Aikaterini and Kallinterakis, Vasileios, Thin Trading and its Impact Upon Herding: The Case of Israel (July 2007). Available at SSRN: https://ssrn.com/abstract=1106132 or http://dx.doi.org/10.2139/ssrn.1106132

Aikaterini Andronikidi

affiliation not provided to SSRN ( email )

Vasileios Kallinterakis (Contact Author)

Durham Business School ( email )

Mill Hill Lane
Durham, Durham DH1 3LB
United Kingdom

Do you have negative results from your research you’d like to share?

Paper statistics

Downloads
204
Abstract Views
1,220
Rank
269,874
PlumX Metrics