Herd Behaviors in the Stock and Foreign Exchange Markets

Kyungsik Kim, Seong-Min Yoon and Yup Kim

Papers from arXiv.org

Abstract: The herd behaviors of returns for the won-dollar exchange rate and the KOSPI are analyzed in Korean financial markets. It is shown that the probability distribution $P(R)$ of price returns $R$ for three values of the herding parameter tends to a power-law behavior $P(R) \simeq R^{-\beta}$ with the exponents $ \beta=2.2$(the won-dollar exchange rate) and 2.4(the KOSPI). The financial crashes are found to occur at $h >2.33$ when the relative increase in the probability distribution of exteremely high price returns is observed. Especially, the distribution of normalized returns shows a crossover to a Gaussian distribution for the time step $\Delta t=252$. Our results will be also compared to the other well-known analyses.

Date: 2003-04
References: Add references at CitEc
Citations:

Downloads: (external link)
http://arxiv.org/pdf/cond-mat/0304451 Latest version (application/pdf)

Related works:
Journal Article: Herd behaviors in the stock and foreign exchange markets (2004)
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/0304451

Access Statistics for this paper

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