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Cross-country effects in herding behaviour: Evidence from four south European markets

Fotini Economou (), Alexandros Kostakis and Nikolaos Philippas ()

Journal of International Financial Markets, Institutions and Money, 2011, vol. 21, issue 3, 443-460

Abstract: This study provides comprehensive evidence testing for the existence of herding effects in the Portuguese, Italian, Spanish and Greek market, constructing a survivor-bias-free dataset of daily stock returns during the period January 1998-December 2008. Moreover, it examines the potential asymmetries of herding effects with respect to the sign of the market return, trading activity and volatility. A novel feature of this study, with implications for financial stability in the Eurozone and international portfolio diversification, is to examine whether the cross-sectional dispersion of returns in one market is affected by the cross-sectional dispersion of returns in the rest three markets. Finally, it tests whether herding effects became more intense during the recent global financial crisis of 2007-2008.

Keywords: Herding; behaviour; PIGS; International; financial; markets; Cross-sectional; dispersion; of; returns; Financial; crisis (search for similar items in EconPapers)
Date: 2011
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Persistent link: https://EconPapers.repec.org/RePEc:eee:intfin:v:21:y:2011:i:3:p:443-460

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