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

Posted: 22 Feb 2016 Last revised: 18 May 2016

See all articles by Fotini Economou

Fotini Economou

Independent

Epameinondas Katsikas

University of Kent

Gregory Vickers

Durham University Business School

Date Written: January 7, 2016

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

Suggested Citation

Economou, Fotini and Katsikas, Epameinondas and Vickers, Gregory, Testing for Herding in the Athens Stock Exchange During the Crisis Period (January 7, 2016). Finance Research Letters, 2016, doi:10.1016/j.frl.2016.05.011, Available at SSRN: https://ssrn.com/abstract=2735575

Fotini Economou

Independent ( email )

Epameinondas Katsikas (Contact Author)

University of Kent ( email )

BUSINESS SCHOOL
ROOM MEDWAY M3-01
CHATHAM MARITIME, KENT ME4 4AG
United Kingdom
0044(0)1634208832 (Phone)

Gregory Vickers

Durham University Business School ( email )

Mill Hill Lane
Durham, Durham DH1 3LB
United Kingdom

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