2013/08/19 by Kim, Changki, Choi, Yangho, Lee, Woojoo +1
#FOS: Economics and business #Risk Management (q-fin.RM) #Statistical Finance (q-fin.ST)
paper · doi:10.48550/arxiv.1308.3966
Herd behavior is an important economic phenomenon, especially in the context of the recent financial crises. In this paper, herd behavior in global stock markets is investigated with a focus on intercontinental comparison. Since most existing herd behavior indices do not provide a comparative method, we propose a new herd behavior index and demonstrate its desirable properties through simple theoretical models. As for empirical analysis, we use global stock market data from Morgan Stanley Capital International to study herd behavior especially during periods of financial crises in detail.