Herding Dynamics in Exchange Groups: Evidence from Euronext

Posted: 10 Jun 2016

See all articles by Fotini Economou

Fotini Economou

Independent

Konstantinos Gavriilidis

University of Stirling

Abhinav Goyal

University College Cork

Vasileios Kallinterakis

University of Liverpool - Management School (ULMS)

Date Written: November 26, 2014

Abstract

This study investigates in the context of the Euronext, whether joining an exchange group affects herding in the group’s member-markets and if this effect persists when accounting for various domestic and international market states, the dynamics of the group’s member-markets and the outbreak of financial crises. We find that herding is significant post-merger in all four constituent equity markets (Belgium, France, the Netherlands and Portugal) of the Euronext, with herding in Portugal being significant (yet less strong) pre-merger as well. These results are robust when controlling for various domestic and international market states, as well as the dynamics of the group’s markets. The period following the outbreak of the euro-zone sovereign debt crisis produces significant herding in Belgium, the Netherlands and Portugal, with this herding being motivated by the dynamics of the group’s two largest markets (France and the Netherlands).

Keywords: Herding; exchange groups; Euronext; euro-zone sovereign debt crisis; market states

JEL Classification: G12, G15, G31

Suggested Citation

Economou, Fotini and Gavriilidis, Konstantinos and Goyal, Abhinav and Kallinterakis, Vasileios, Herding Dynamics in Exchange Groups: Evidence from Euronext (November 26, 2014). Journal of International Financial Markets, Institutions and Money, Vol. 34, No. 228-244, 2015, Available at SSRN: https://ssrn.com/abstract=2792200

Fotini Economou

Independent ( email )

Konstantinos Gavriilidis

University of Stirling ( email )

Stirling, Scotland FK9 4LA
United Kingdom

Abhinav Goyal

University College Cork ( email )

O'Rahilly Building
College Road
Cork
Ireland
+353 (0)21 490 2839 (Phone)

Vasileios Kallinterakis (Contact Author)

University of Liverpool - Management School (ULMS) ( email )

Chatham Street
Liverpool, L69 7ZH
United Kingdom

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