Testing for herding using different return definitions: a comparison between simple and logarithmic returns

Junkai Wang () and Robert Hudson
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Junkai Wang: University of Hull

Economics Bulletin, 2023, vol. 43, issue 2, 1070 - 1080

Abstract: We outline theoretically why different return measures (simple or logarithmic) may affect tests for herding. Comprehensive empirical tests using data from many major world financial markets confirm that different returns measures do frequently lead to different conclusions about the presence of herding.

Keywords: Herding; Returns; Logarithmic; Simple; CCK test; CSAD; Stock Markets. (search for similar items in EconPapers)
JEL-codes: G1 G2 (search for similar items in EconPapers)
Date: 2023-06-30
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