Herding, contrarianism and delay in financial market trading

Andreas Park and Daniel Sgroi

European Economic Review, 2012, vol. 56, issue 6, 1020-1037

Abstract: Herding and contrarian behaviour are often-cited features of real-world financial markets. Theoretical models of continuous trading that study herding and contrarianism, however, usually do not allow traders to choose when to trade or to trade more than once. We present a large-scale experiment to explore these features within a tightly controlled laboratory environment. Herding and contrarianism are more pronounced than in comparable studies that do not allow traders to time their decisions. Traders with extreme information tend to trade earliest, followed by those with information conducive to contrarianism, while those with the theoretical potential to herd delay the most. A sizeable fraction of trades is clustered in time.

Keywords: Herding; Contrarianism; Endogenous-time trading; Experiments (search for similar items in EconPapers)
JEL-codes: C91 D82 G14 (search for similar items in EconPapers)
Date: 2012
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (17)

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Related works:
Working Paper: Herding, Contrarianism and Delay in Financial Market Trading (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:eecrev:v:56:y:2012:i:6:p:1020-1037

DOI: 10.1016/j.euroecorev.2012.04.006

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