Revisiting Herding Behavior: Likelihood Evidence

42 Pages Posted: 10 Feb 2013

See all articles by Efthymios G. Tsionas

Efthymios G. Tsionas

Athens University of Economics and Business - Department of Economics

Date Written: February 10, 2013

Abstract

We examine herding behavior in the US stock market, employing 30 blue chip companies of the Dow Jones Industrial Average Index, through 2001-2011. We propose a novel multivariate stochastic volatility methodology extended to allow for common factors that detect and measure the contribution of herding conditional on stylized-fact features of returns. We document the existence of herding during the recent global financial crisis and its aftermath. Our results have important policy implications and highlight the significant changes encountered by the global financial system as well as the increased systemic risk market participants are exposed to.

Keywords: Herding Behavior, US Stock Markets, Stochastic Volatility, Likelihood analysis, Markov Chain Monte Carlo, Financial Markets

JEL Classification: C11, C13, G10, G17

Suggested Citation

Tsionas, Efthymios (Efthymios) G., Revisiting Herding Behavior: Likelihood Evidence (February 10, 2013). Available at SSRN: https://ssrn.com/abstract=2214580 or http://dx.doi.org/10.2139/ssrn.2214580

Efthymios (Efthymios) G. Tsionas (Contact Author)

Athens University of Economics and Business - Department of Economics ( email )

76 Patission Street
GR-10434 Athens
Greece
+301 8203 (Phone)
+301 8203 301 (Fax)

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