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Intraday herding on a cross-border exchange

Panagiotis Andrikopoulos (), Vasileios Kallinterakis, Mario Pedro Leite Ferreira and Thanos Verousis ()

International Review of Financial Analysis, 2017, vol. 53, issue C, 25-36

Abstract: This study investigates intraday herding on the Euronext, the world's first cross-border consolidated exchange. Intraday herding is significant in the Euronext as a group and presents us with size, industry and country effects. Importantly, the trading dynamics of the group's member markets significantly affect each other and can, in the case of the Netherlands, promote herding formation. Intraday herding is found to be significant before, during and after the 2007–09 financial crisis period, with its presence appearing the least strong during the crisis. Overall, we demonstrate for the first time in the literature that cross-border exchanges harbour versatile herding dynamics at intraday level, a finding which reflects recent advances in financial technology and the ongoing financial integration in Europe.

Keywords: Tick data; Intraday herding; Cross-border groups; Euronext (search for similar items in EconPapers)
JEL-codes: G02 G15 (search for similar items in EconPapers)
Date: 2017
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