Is anti-herding behavior spurious?

Stavros Stavroyiannis, Vassilios Babalos, Stelios Bekiros and Salim Lahmiri

Finance Research Letters, 2019, vol. 29, issue C, 379-383

Abstract: Herding behavior has been in the epicenter of a heated debate over the past three decades across traditional and alternative asset markets. Establishing the existence of herding relies on a standard regression-based testing procedure. Employing Monte Carlo simulations we show that spurious anti-herding behavior might emerge even if the series are random and totally uncorrelated, provided that the residuals of the model fail to conform to some of the assumptions of standard linear regression. The simulations from a t-student distribution are examined as a function of the degrees of freedom, the length of the simulations, and the number of series.

Keywords: Spurious anti-herding; Multivariate Monte Carlo; Statistical significance (search for similar items in EconPapers)
JEL-codes: C1 C22 C5 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1544612318304525
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:29:y:2019:i:c:p:379-383

DOI: 10.1016/j.frl.2018.09.003

Access Statistics for this article

Finance Research Letters is currently edited by R. Gençay

More articles in Finance Research Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().