Testing for Herding in the Athens Stock Exchange During the Crisis Period

Abstract

This paper investigates herding behavior in the Athens Stock Exchange focusing on the recent crisis period. To this end we employ a survivor bias free dataset of all listed stocks from 2007 to May 2015. We apply the cross sectional dispersion approach and provide results that extend and are comparable with previous studies regarding the Greek stock market. The empirical results indicate the presence of herding under different market states and sub-periods. These findings provide insight into investors’ behavior, especially in the light of the unprecedented events of the Greek debt crisis.

Keywords: herding; cross sectional dispersion; Athens Stock Exchange

JEL Classification: G10; G14; G15