Herding behaviour and sentiment: Evidence in a small European market
Abstract
This work studies herding behaviour in a small European market, by analysing the stocks that constitutedthe Portuguese stock PSI-20 index, for the period between 2003 and 2011. The two different approachesused to measure herding intensity led to different results, suggesting that measurements of the herdingphenomenon are sensitive to the method used. Consequently, there is a need for further research into themethodology used to test this phenomenon. Additionally, the study analyses the relationship betweenherd behaviour and investor sentiment, an area that has been little explored. In applying causality teststo the impact of sentiment on herd behaviour, only weak evidence is found that sentiment influencesherding.
Keywords:Herding behaviour Capital market Information cascades Behavioural finance
- Introduction
- Literature review and hypotheses
- Herding behaviour
- Information cascade models
- Investor sentiment
- Methodology and data
- Herding intensity
- Relationship between sentiment and herding
- Data
- Results
- Herding intensity
- Relation between sentiment and herding behaviour
- Conclusion
- Conflict of interest
- References
دانلود:
دانلود مقاله لاتین رفتار توده واری و حساسیت سرمایه گذاران
امتیاز مورد نیاز
2
شنبه, 08 آبان 1395 13:54
355.12 KB
8
