Measuring herd behavior: properties and pitfalls

Lee Woojoo () and Ahn Jae Youn ()
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Lee Woojoo: Department of Statistics, Inha University, 235 Yonghyun-Dong, Nam-Gu, Incheon 402-751, Korea Republic of
Ahn Jae Youn: Department of Statistics, Ewha Womans University, 11-1 Daehyun-Dong, Seodaemun-Gu, Seoul 120-750, Korea Republic of

Dependence Modeling, 2017, vol. 5, issue 1, 316-329

Abstract: Herd behavior is an important economic phenomenon, especially in the context of the recent financial crises. Prior studies propose several measures to quantify herd behavior. In this paper, we show that these measures reflect different perspectives on this behavior, and hence, their interpretation requires great care. Taking a critical attitude toward existing herd behavior measures, we study their properties and pitfalls in detail.

Keywords: herd behavior; herd behavior index; comonotonicity; copula (search for similar items in EconPapers)
Date: 2017
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Persistent link: https://EconPapers.repec.org/RePEc:vrs:demode:v:5:y:2017:i:1:p:316-329:n:19

DOI: 10.1515/demo-2017-0019

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