Thin trading and its impact upon herding: the case of Israel

Aikaterini Andronikidi and Vasileios Kallinterakis ()

Applied Economics Letters, 2010, vol. 17, issue 18, 1805-1810

Abstract: Emerging markets have been found to accommodate higher herding levels compared to their developed counterparts, yet very little attention has been drawn to the possible impact of thin trading over herding estimations, even though these markets are often typified by thin trading. We address this issue by testing for herding in the Israeli market using the methodology proposed by Hwang and Salmon (2004). Results indicate that correcting for thin trading renders herding more persistent and smoother in its evolution, thus indicating that thin trading leads to an underestimated picture of herding.

Date: 2010
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DOI: 10.1080/13504850903357327

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