The Argentine Crisis: A Case for Herd Behaviour?

30 Pages Posted: 7 May 2007

See all articles by Vasileios Kallinterakis

Vasileios Kallinterakis

Durham Business School

Konstantinos Gavriilidis

Stirling Management School; University of Stirling

Paula Micciullo

Durham Business School

Date Written: April 2007

Abstract

Research in behavioural Finance has investigated the presence of herd behaviour relative to periods of market stress in order to establish the impact of herding over extreme market conditions. Our work examines the case of the Argentine financial crisis which has never been explored in herding terms in Finance before. Using historical data on Argentina's main market index (MERVAL) between 2000 and 2006 we demonstrate the existence of significant herding both during as well as after the crisis. We also demonstrate how the evolutionary course of herding in the Argentine market can be considered in view of the chronology of events that shaped the market during those volatile years.

Keywords: Herding, Argentine Crisis

JEL Classification: G10, G15

Suggested Citation

Kallinterakis, Vasileios and Gavriilidis, Konstantinos and Gavriilidis, Konstantinos and Micciullo, Paula, The Argentine Crisis: A Case for Herd Behaviour? (April 2007). Available at SSRN: https://ssrn.com/abstract=980685 or http://dx.doi.org/10.2139/ssrn.980685

Vasileios Kallinterakis (Contact Author)

Durham Business School ( email )

Mill Hill Lane
Durham, Durham DH1 3LB
United Kingdom

Konstantinos Gavriilidis

University of Stirling ( email )

Stirling, Scotland FK9 4LA
United Kingdom

Stirling Management School ( email )

Stirling University
Stirling, sTIRLING FK9 4LA
United Kingdom

Paula Micciullo

Durham Business School ( email )

Mill Hill Lane
Durham, Durham DH1 3LB
United Kingdom

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