Estimating a Structural Model of Herd Behavior in Financial Markets

Estimating a Structural Model of Herd Behavior in Financial Markets
Author :
Publisher : International Monetary Fund
Total Pages : 35
Release :
ISBN-10 : 9781455211692
ISBN-13 : 1455211699
Rating : 4/5 (92 Downloads)

Book Synopsis Estimating a Structural Model of Herd Behavior in Financial Markets by : Antonio Guarino

Download or read book Estimating a Structural Model of Herd Behavior in Financial Markets written by Antonio Guarino and published by International Monetary Fund. This book was released on 2010-12-01 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt: We develop a new methodology to estimate the importance of herd behavior in financial markets: we build a structural model of informational herding that can be estimated with financial transaction data. In the model, rational herding arises because of information-event uncertainty. We estimate the model using data on a NYSE stock (Ashland Inc.) during 1995. Herding often arises and is particularly pervasive on some days. The proportion of herd buyers (sellers) is 2 percent (4 percent) and is greater than 10 percent in 7 percent (11 percent) of information-event days. Herding causes important informational inefficiencies, amounting, on average, to 4 percent of the expected asset value.


Estimating a Structural Model of Herd Behavior in Financial Markets Related Books

Estimating a Structural Model of Herd Behavior in Financial Markets
Language: en
Pages: 35
Authors: Antonio Guarino
Categories: Business & Economics
Type: BOOK - Published: 2010-12-01 - Publisher: International Monetary Fund

DOWNLOAD EBOOK

We develop a new methodology to estimate the importance of herd behavior in financial markets: we build a structural model of informational herding that can be
Herd Behavior in Financial Markets
Language: en
Pages: 38
Authors: Sushil Bikhchandani
Categories: Capital market
Type: BOOK - Published: 2000 - Publisher:

DOWNLOAD EBOOK

Contemporary Issues in Behavioral Finance
Language: en
Pages: 320
Authors: Simon Grima
Categories: Business & Economics
Type: BOOK - Published: 2019-07-04 - Publisher: Emerald Group Publishing

DOWNLOAD EBOOK

This special edition of Contemporary Studies in Economic and Financial Analysis offers seventeen chapters from invited participants in the International Applied
IMF Research Bulletin, December 2008
Language: en
Pages: 19
Authors: International Monetary Fund. Research Dept.
Categories: Business & Economics
Type: BOOK - Published: 2008-12-11 - Publisher: International Monetary Fund

DOWNLOAD EBOOK

December 2008: IMF research summaries on global herding in financial markets (by Marco Cipriani) and on fiscal decentralization (by Lusine Lusinyan); article on
Herd Behavior in Financial Markets
Language: en
Pages: 0
Authors: Marco Cipriani
Categories: Capitalists and financiers
Type: BOOK - Published: 2008 - Publisher:

DOWNLOAD EBOOK

We study herd behavior in a laboratory financial market with financial market professionals. We compare two treatments, one in which the price adjusts to the or