The Herd Behavior Index: A new measure for the implied degree of co-movement in stock markets

Jan Dhaene, Daniël Linders, Wim Schoutens and David Vyncke

Insurance: Mathematics and Economics, 2012, vol. 50, issue 3, 357-370

Abstract: We introduce a new and easy-to-calculate measure for the expected degree of herd behavior or co-movement between stock prices. This forward looking measure is model-independent and based on observed option data. It is baptized the Herd Behavior Index (HIX).

Keywords: Comonotonicity; Herd behavior; Systemic risk; Correlation; VIX volatility index (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (22)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:50:y:2012:i:3:p:357-370

DOI: 10.1016/j.insmatheco.2012.01.005

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