Volume-herding interaction in the American market

Ahmed BenSaïda, Mouna Jlassi and Houda Litimi
Authors registered in the RePEc Author Service: Ahmed BenSaïda

American Journal of Finance and Accounting, 2015, vol. 4, issue 1, 50-69

Abstract: This paper examines the existence of herding in the US market. We study the turnover effect on herding movement by modifying the Cross-Sectional Standard Deviation (CSSD) model and the Cross-Sectional Absolute Deviation (CSAD) model. Results are inconclusive about the presence of herding in the US financial market. However, we find that trading volume can trigger herding. By applying VAR and Granger causality tests, we find a strong link between herding and trading volume in both directions. More particularly, we find that trading volume can enhance herding behaviour and vice versa, i.e. herding intensifies trading. Moreover, we examine the herding behaviour during the subprime crisis, and find that herding is inhibited during this period.

Keywords: herding behaviour; trading volume; financial crisis; US financial markets; CSSD; CSAD; USA; United States; cross-sectional standard deviation; cross-sectional absolute deviation; VAR; Granger causality; subprime crisis; stock markets. (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (12)

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