Bond market investor herding: Evidence from the European financial crisis
Emilios C. Galariotis,
Styliani-Iris Krokida and
Spyros Spyrou
International Review of Financial Analysis, 2016, vol. 48, issue C, 367-375
Abstract:
During the recent financial crisis, numerous EU officials, market participants and the media suggested that irrational herding was a key factor for the financial turmoil and the soaring yield spreads. In this paper we test for evidence of herd behavior in European government bond prices and, overall, we find no evidence of investor herding either before or after the EU crisis. We do find, however, in an original contribution to the bond market literature, strong evidence that during the EU crisis period, macroeconomic information announcements induced bond market investor herding; a finding that confirms the notion of ‘spurious’ herding proposed by Bikhchandani and Sharma (2001) for bond markets. Further tests reinforce this finding and also indicate the existence of herding spill-over effects.
Keywords: Herding; Bond markets; Financial crisis (search for similar items in EconPapers)
JEL-codes: G12 G14 G15 (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (21)
Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1057521915000101
Full text for ScienceDirect subscribers only
Related works:
Working Paper: Bond market investor herding: Evidence from the European financial crisis (2016)
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:eee:finana:v:48:y:2016:i:c:p:367-375
DOI: 10.1016/j.irfa.2015.01.001
Access Statistics for this article
International Review of Financial Analysis is currently edited by B.M. Lucey
More articles in International Review of Financial Analysis from Elsevier
Bibliographic data for series maintained by Catherine Liu (repec@elsevier.com).