 Time-variations in herding behavior: Evidence from a Markov switching SUR modelArne C. Klein Journal of International Financial Markets, Institutions and Money, 2013, vol. 26, issue C, 291-304 Abstract: This paper aims at testing for time-variations in herd behavior in stock markets. In particular, we analyze how investors’ behavior differs between times of market turmoil and tranquil trading periods. Thereby, we take into account herding within a certain market as well as international spillovers in herd formation. Our evidence for the US and the Euroarea suggests that, during periods of high volatility, deviations from rational asset pricing are more persistent and spillovers between the markets are substantially amplified. In general, our findings show that during periods of crisis, like the recent global financial crisis and the period after the dot.com bubble bursting, stock prices are much more driven by behavioral effects compared to tranquil times. Keywords: Herding; Asset pricing; Financial crisis; Markov switching seemingly unrelated regressions (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:intfin:v:26:y:2013:i:c:p:291-304 DOI: 10.1016/j.intfin.2013.06.006 Access Statistics for this article Journal of International Financial Markets, Institutions and Money is currently edited by I. Mathur and C. J. Neely More articles in Journal of International Financial Markets, Institutions and Money from Elsevier |
Is your work missing from RePEc? Here is how to contribute.
Questions or problems? Check the EconPapers FAQ or send mail to .
EconPapers is hosted by the
School of Business at Örebro University.