Multifractality and herding behavior in the Japanese stock market

Daniel Cajueiro and Benjamin Tabak

Chaos, Solitons & Fractals, 2009, vol. 40, issue 1, 497-504

Abstract: In this paper we present evidence of multifractality and herding behavior for a large set of Japanese stocks traded in the Tokyo Stock Exchange. We find evidence that herding behavior occurs in periods of extreme market movements. Therefore, based on the intuition behind the tests to detect herding phenomenon developed, for instance, in Christie and Huang [Christie W, Huang R. Following the pied pier: do individual returns herd around the market? Financ Analysts J 1995;51:31–7] and Chang et al. [Chang EC, Cheng JW, Khorana A. Examination of herd behavior in equity markets: an international perspective. J Bank Finance 2000;24:1651–99], we suggest that herding behavior may be one of the causes of multifractality.

Date: 2009
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Citations: View citations in EconPapers (31)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:chsofr:v:40:y:2009:i:1:p:497-504

DOI: 10.1016/j.chaos.2007.07.091

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