Not Available for Download

Herding Behavior in European Futures Markets

Posted: 6 Jun 2003  

Kimberly C. Gleason

University of Pittsburgh - Finance Group

Chun I. Lee

Loyola Marymount University - Department of Finance and Computer Information Systems

Ike Mathur

Southern Illinois University at Carbondale - Department of Finance

Abstract

The research on herding behavior in common stocks is extended to contracts traded on European futures markets. We use the Christie and Huang (1995) herding model to identify the possibility of the existence of herding behavior in thirteen commodity futures contracts traded on three European exchanges. The results support the conclusion that herding behavior is not present in futures markets.

Keywords: Herding Behavior, European Futures Exchanges

JEL Classification: G13, G14, G15

Suggested Citation

Gleason, Kimberly C. and Lee, Chun I. and Mathur, Ike, Herding Behavior in European Futures Markets. Finance Letters, Vol. 1, No. 1, 2003. Available at SSRN: https://ssrn.com/abstract=412585

Kimberly C. Gleason (Contact Author)

University of Pittsburgh - Finance Group ( email )

372 Mervis Hall
Pittsburgh, PA 15260
United States

Chun I. Lee

Loyola Marymount University - Department of Finance and Computer Information Systems ( email )

Los Angeles, CA 90045
United States

Ike Mathur

Southern Illinois University at Carbondale - Department of Finance ( email )

Mailcode 4626
Carbondale, IL 62901-4626
United States
618-453-1421 (Phone)
618-453-5626 (Fax)

Paper statistics

Abstract Views
1,441