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Detecting intentional herding: what lies beneath intraday data in the spanish stock market

Natividad Blasco (), Pilar Corredor and Sandra Ferreruela
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Natividad Blasco: Department of Accounting and Finance (University of Zaragoza, Spain)
Pilar Corredor: Department of Business Administration (Public University of Navarre, Spain)
Sandra Ferreruela: Department of Accounting and Finance (University of Zaragoza, Spain)

Documentos de Trabajo from Facultad de Ciencias Económicas y Empresariales, Universidad de Zaragoza

Abstract: This paper examines the intentional herd behaviour of market participants using a new bootstrap-based approach that compares the scaled cross-sectional deviation of returns in the intraday market with the cross-sectional deviation of returns of an “artificially created” market free of intentional herding effects. The analysis is carried out for both the overall market and a sample of the most representative. The results show that the Spanish market exhibits a significant intraday herding effect that is not detected using other traditional measures when familiar stocks are analysed. Furthermore, it is suggested that herding is likely to be better revealed using intraday data.

Keywords: Behaviour; finance; time series (search for similar items in EconPapers)
JEL-codes: G14 G11 G12 G15 (search for similar items in EconPapers)
Date: 2009-01
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Persistent link: http://EconPapers.repec.org/RePEc:zar:wpaper:dt2009-01

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