Intraday Herding on a Cross-Border Exchange

Posted: 28 Oct 2017

See all articles by Panagiotis Andrikopoulos

Panagiotis Andrikopoulos

Centre for Financial and Corporate Integrity (CFCI), Coventry University

Vasileios Kallinterakis

Durham Business School

Mario Pedro Leite Ferreira

Catholic University of Portugal (UCP) - Department Economics and Finance

Thanos Verousis

Essex Business School

Date Written: September 1, 2017

Abstract

This study investigates intraday herding on the Euronext, the world's first cross-border consolidated exchange. Intraday herding is significant in the Euronext as a group and presents us with size, industry and country effects. Importantly, the trading dynamics of the group's member markets significantly affect each other and can, in the case of the Netherlands, promote herding formation. Intraday herding is found to be significant before, during and after the 2007–09 financial crisis period, with its presence appearing the least strong during the crisis. Overall, we demonstrate for the first time in the literature that cross-border exchanges harbour versatile herding dynamics at intraday level, a finding which reflects recent advances in financial technology and the ongoing financial integration in Europe.

Keywords: Tick data, Intraday herding, Cross-border groups, Euronext

JEL Classification: G02, G15

Suggested Citation

Andrikopoulos, Panagiotis and Kallinterakis, Vasileios and Leite Ferreira, Mario Pedro and Verousis, Thanos, Intraday Herding on a Cross-Border Exchange (September 1, 2017). International Review of Financial Analysis, Vol. 53, 25-36. Available at SSRN: https://ssrn.com/abstract=3060347

Panagiotis Andrikopoulos (Contact Author)

Centre for Financial and Corporate Integrity (CFCI), Coventry University ( email )

Priory Street
Coventry, CV1 5FB
United Kingdom
+44(0)247 765 7920 (Phone)

Vasileios Kallinterakis

Durham Business School ( email )

Mill Hill Lane
Durham, Durham DH1 3LB
United Kingdom

Mario Pedro Leite Ferreira

Catholic University of Portugal (UCP) - Department Economics and Finance ( email )

Rua Diogo Botelho, 1327
4100-009 Porto, Porto 4169-005
Portugal
+351226196200 (Phone)
+351226196291 (Fax)

Thanos Verousis

Essex Business School ( email )

United Kingdom

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