Herding behavior in real estate markets: Novel evidence from a Markov-switching model
Mehmet Balcilar and
Journal of Behavioral and Experimental Finance, 2015, vol. 8, issue C, 40-43
Employing a dynamic model that captures herding under different market regimes we provide novel evidence on the herding behavior of US-listed Real Estate Investment Trusts (REITs). Estimates of herding behavior are derived using a Markov regime-switching model. Although static herding model rejects the existence of herding in REITs markets estimates of the regime-switching model reveal substantial evidence of herding behavior under the crash regime for almost all sectors. Most interestingly we observe a shift from negative herding behavior during low and high volatility regimes to positive herding behavior under crash regime for almost all REITs sectors.
Keywords: Cross sectional dispersion; Market stress; Herding; REITs; Regime switching (search for similar items in EconPapers)
JEL-codes: C G11 G15 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:beexfi:v:8:y:2015:i:c:p:40-43
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