International herding: Does it differ across sectors?

被引:84
作者
Gebka, Bartosz [1 ]
Wohar, Mark E. [2 ]
机构
[1] Newcastle Univ, Sch Business, Newcastle Upon Tyne NE1 4SE, Tyne & Wear, England
[2] Univ Nebraska, Dept Econ, Omaha, NE 68182 USA
关键词
Herding; Financial contagion; International financial markets; Quantile regressions; INVESTORS HERD; STOCK MARKETS; OVERCONFIDENCE; INFORMATION; CONTAGION; BEHAVIOR; IMPACT; STRATEGIES; EXPERIENCE; MANAGERS;
D O I
10.1016/j.intfin.2012.09.003
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
This paper investigates the existence of herding in the global equity market. We apply a methodology which utilises cross-country dispersion in index returns. An analysis of national indices world-wide unveils virtually no instances of global information cascades, as price patterns largely adhere to the predictions of the rational pricing models. However, some sector-specific indices reveal price patterns indicative of traders' irrationality, especially in basic materials, consumer services, and oil and gas. This can be driven by a group of investors following each other in and out of markets, overconfidence, or excessive flight to quality. These irrational patterns decline over time. (C) 2012 Elsevier B.V. All rights reserved.
引用
收藏
页码:55 / 84
页数:30
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