Herd Behavior of Returns in the Futures Exchange Market

Kyungsik Kim, Seong-Min Yoon and Yup Kim

Papers from arXiv.org

Abstract: The herd behavior of returns is investigated in Korean futures exchange market. It is obtained that the probability distribution of returns for three types of herding parameter scales as a power law $R^{-\beta}$ with the exponents $ \beta=3.6$(KTB203) and 2.9(KTB209) in two kinds of Korean treasury bond. For our case since the active state of transaction exists to decrease lesser than the herding parameter $h=2.33$, the crash regime appears to increase in the probability with high returns values. Especially, we find that it shows a crossover toward a Gaussian probability function near the time step $\Delta t=360$ from the distribution of normalized returns. Our result will be also compared with other well-known results.

Date: 2003-04, Revised 2003-04
References: View complete reference list from CitEc
Citations:

Downloads: (external link)
http://arxiv.org/pdf/cond-mat/0304143 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:cond-mat/0304143

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().