Testing for herding in the Athens Stock Exchange during the crisis period

Fotini Economou, Epameinondas Katsikas and Gregory Vickers

Finance Research Letters, 2016, vol. 18, issue C, 334-341

Abstract: This paper investigates herding behavior in the Athens Stock Exchange focusing on the recent crisis period. We employ a survivor bias free dataset of all listed stocks from 2007 to May 2015. We apply the cross sectional dispersion approach and provide results that extend and are comparable with previous studies regarding the Greek stock market. The empirical results indicate the presence of herding under different market states. Employing the quantile regression method, there is herding in the high quantiles of the cross sectional return dispersion. Finally, we document the impact of size effect on herding estimations.

Keywords: Herding; Cross sectional dispersion; Athens stock exchange (search for similar items in EconPapers)
JEL-codes: G10 G14 G15 (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (22)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:18:y:2016:i:c:p:334-341

DOI: 10.1016/j.frl.2016.05.011

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