Herding dynamics in exchange groups: Evidence from Euronext

被引:42
作者
Economou, Fotini [1 ,2 ]
Gavriilidis, Konstantinos [3 ]
Goyal, Abhinav [4 ]
Kallinterakis, Vasileios [4 ]
机构
[1] Ctr Planning & Econ Res, Athens 10672, Greece
[2] Open Univ Cyprus, CY-2252 Nicosia, Cyprus
[3] Univ Stirling, Sch Management, Stirling FK9 4LA, Scotland
[4] Univ Liverpool, Sch Management, Liverpool L69 7ZH, Merseyside, England
关键词
Herding; Exchange groups; Euronext; Euro-zone sovereign debt crisis; Market states; INVESTMENT STRATEGIES; FUND MANAGERS; BEHAVIOR; MARKET; INVESTORS; IMPACT; PERFORMANCE; EXPERIENCE; CONTAGION; MERGERS;
D O I
10.1016/j.intfin.2014.11.013
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
This study investigates in the context of the Euronext, whether joining an exchange group affects herding in the group's member-markets and if this effect persists when accounting for various domestic and international market states, the dynamics of the group's member-markets and the outbreak of financial crises. We find that herding is significant post-merger in all four constituent equity markets (Belgium, France, the Netherlands and Portugal) of the Euronext, with herding in Portugal being significant (yet less strong) pre-merger as well. These results are robust when controlling for various domestic and international market states, as well as the dynamics of the group's markets. The period following the outbreak of the euro-zone sovereign debt crisis produces significant herding in Belgium, the Netherlands and Portugal, with this herding being motivated by the dynamics of the group's two largest markets (France and the Netherlands). (C) 2014 Elsevier B.V. All rights reserved.
引用
收藏
页码:228 / 244
页数:17
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