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Detecting intentional herding / Blasco, N. in Journal of the operational research society (JORS), Vol. 62 N° 6 (Juin 2011) 

Public ISBD [article]  in Journal of the operational research society (JORS) > Vol. 62 N° 6 (Juin 2011) . - pp. 1056–1066 Titre : Detecting intentional herding : what lies beneath intraday data in the Spanish stock market Type de document : texte imprimé Auteurs : Blasco, N., Auteur ; Corredor, P., Auteur ; Ferreruela, S., Auteur Année de publication : 2011 Article en page(s) : pp. 1056–1066 Note générale : Recherche opérationnelle Langues : Anglais (eng) Mots-clés : Behaviour  Finance  Time  series Index. décimale : 001.424 Résumé : This paper examines the intentional herd behaviour of market participants, using Li's test to compare the probability distributions of the scaled cross-sectional deviation in returns in the intraday market with the cross-sectional deviation in returns in an ‘artificially created’ market free of intentional herding effects. The analysis is carried out for both the overall market and a sample of the most representative stocks. In addition, a bootstrap procedure is applied in order to gain a deeper understanding of the differences across the distributions under study. The results show that the Spanish market exhibits a significant intraday herding effect that is not detected using other traditional herding measures when familiar and heavily traded stocks are analysed. Furthermore, it is suggested that intentional herding is likely to be better revealed using intraday data, and that the use of a lower frequency data may obscure results revealing imitative behaviour in the market. DEWEY : 001.424 ISSN : 0160-5682 En ligne : http://www.palgrave-journals.com/jors/journal/v62/n6/abs/jors201034a.html [article] Detecting intentional herding : what lies beneath intraday data in the Spanish stock market [texte imprimé] / Blasco, N., Auteur ; Corredor, P., Auteur ; Ferreruela, S., Auteur . - 2011 . - pp. 1056–1066. Recherche opérationnelle Langues : Anglais (eng) in Journal of the operational research society (JORS) > Vol. 62 N° 6 (Juin 2011) . - pp. 1056–1066 Mots-clés : Behaviour  Finance  Time  series Index. décimale : 001.424 Résumé : This paper examines the intentional herd behaviour of market participants, using Li's test to compare the probability distributions of the scaled cross-sectional deviation in returns in the intraday market with the cross-sectional deviation in returns in an ‘artificially created’ market free of intentional herding effects. The analysis is carried out for both the overall market and a sample of the most representative stocks. In addition, a bootstrap procedure is applied in order to gain a deeper understanding of the differences across the distributions under study. The results show that the Spanish market exhibits a significant intraday herding effect that is not detected using other traditional herding measures when familiar and heavily traded stocks are analysed. Furthermore, it is suggested that intentional herding is likely to be better revealed using intraday data, and that the use of a lower frequency data may obscure results revealing imitative behaviour in the market. DEWEY : 001.424 ISSN : 0160-5682 En ligne : http://www.palgrave-journals.com/jors/journal/v62/n6/abs/jors201034a.html