Herding behaviour in extreme market conditions: the case of the Athens Stock Exchange

Guglielmo Maria Caporale, Nikolaos Philippas and Fotini Economou ()
Additional contact information
Fotini Economou: University of Piraeus

Economics Bulletin, 2008, vol. 7, issue 17, 1-13

Abstract: This paper examines herd behaviour in extreme market conditions using data from the Athens Stock Exchange. We test for the presence of herding as suggested by Christie and Huang (1995) and Chang, Cheng, and Khorana (2000). Results based on daily, weekly and monthly data indicate the existence of herd behaviour for the years 1998-2007. Evidence of herd behaviour over daily time intervals is much stronger, revealing the short-term nature of the phenomenon. When the testing period is broken into semi-annual sub-periods, herding is found during the stock market crisis of 1999. Investor behaviour seems to have become more rational since 2002, owing to the regulatory and institutional reforms of the Greek equity market and the intense presence of foreign institutional investors.

JEL-codes: G1 (search for similar items in EconPapers)
Date: 2008-11-16
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (11)

Downloads: (external link)
http://www.accessecon.com/pubs/EB/2008/Volume7/EB-08G10021A.pdf (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:ebl:ecbull:eb-08g10021

Access Statistics for this article

More articles in Economics Bulletin from AccessEcon
Bibliographic data for series maintained by John P. Conley ().