Herd Behaviour, Illiquidity and Extreme Market States

Vasileios Kallinterakis, Nomana Munir and Mirjana Radovic-Markovic
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Vasileios Kallinterakis: Vasileios Kallinterakis (corresponding author), Department of Economics and Finance, University of Durham, 23/26 Old Elvet, Durham DH1 3HY, United Kingdom. E-mail: vasileios.kallinterakis@durham.ac.uk
Nomana Munir: Nomana Munir, Department of Economics and Finance, University of Durham, 23/26 Old Elvet, Durham DH1 3HY, United Kingdom. E-mail: nomana.munir@durham.ac.uk
Mirjana Radovic-Markovic: Mirjana Radovic-Markovic, Head of Department of Economic Researches, Institute of Economic Sciences, Zmaj Jovina 12, Belgrade, Republic of Serbia. E-mail: mirjana.radovic@ien.bg.ac.rs
Authors registered in the RePEc Author Service: Mirjana M. Radovic Markovic ()

Journal of Emerging Market Finance, 2010, vol. 9, issue 3, 305-324

Abstract: A large amount of studies have attempted to trace the presence of herding during extreme periods at the cross-sectional level by associating herding with the reduction in the cross-sectional dispersion of returns around the market average. In this article we address the issue of whether the estimation of herding on the premises of such frameworks is robust to the thin trading bias whose presence is particularly prevalent in emerging markets. Our study is undertaken in the context of the Banja Luka Stock Exchange, which is one of the world’s most recently established markets. Results indicate that herding is insignificant during extreme return periods with its insignificance persisting even after controlling for thin trading.

Keywords: JEL Classification: G10; JEL Classification: G15; Herding; thin trading; extreme markets; Banja Luka (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:sae:emffin:v:9:y:2010:i:3:p:305-324

DOI: 10.1177/097265271000900303

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