Please use this identifier to cite or link to this item:
https://hdl.handle.net/10419/60944
Full metadata record
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Cipriani, Marco | en |
dc.contributor.author | Guarino, Antonio | en |
dc.date.accessioned | 2012-06-05 | - |
dc.date.accessioned | 2012-08-17T14:38:06Z | - |
dc.date.available | 2012-08-17T14:38:06Z | - |
dc.date.issued | 2012 | - |
dc.identifier.uri | http://hdl.handle.net/10419/60944 | - |
dc.description.abstract | We develop a new methodology for estimating the importance of herd behavior in financial markets. Specifically, 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 1995 stock market data for Ashland Inc., a company listed on the New York Stock Exchange. Herding occurs often and is particularly pervasive on certain days. In an information-event day, on average, 2 percent (4 percent) of informed traders herd-buy (sell). In 7 percent (11 percent) of information-event days, the proportion of informed traders who herd-buy (sell) is greater than 10 percent. Herding causes important informational inefficiencies, amounting, on average, to 4 percent of the asset's expected value. | en |
dc.language.iso | eng | en |
dc.publisher | |aFederal Reserve Bank of New York |cNew York, NY | en |
dc.relation.ispartofseries | |aStaff Report |x561 | en |
dc.subject.jel | G14 | en |
dc.subject.jel | D82 | en |
dc.subject.jel | C13 | en |
dc.subject.ddc | 330 | en |
dc.subject.keyword | herd behavior | en |
dc.subject.keyword | market microstructure | en |
dc.subject.keyword | structural estimation | en |
dc.title | Estimating a structural model of herd behavior in financial markets | - |
dc.type | Working Paper | en |
dc.identifier.ppn | 717053849 | en |
dc.rights | http://www.econstor.eu/dspace/Nutzungsbedingungen | en |
Files in This Item:
Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.