Institutional Herding in Financial Markets: New Evidence through the Lens of a Simulated Model
Stephanie Kremer and
Dieter Nautz ()
No 1336, Discussion Papers of DIW Berlin from DIW Berlin, German Institute for Economic Research
Due to data limitations and the absence of testable, model-based predictions, theory and evidence on herd behavior are only loosely connected. This paper contributes towards closing this gap in the herding literature. We use numerical simulations of a herd model to derive new, theory-based predictions for aggregate herding intensity. Using high-frequency, investor-specific trading data we confirm the predicted impact of information risk on herding. In contrast, the increase in buy herding measured for the financial crisis period cannot be explained by the herd model.
Keywords: Herd Behavior; Institutional Trading; Model Simulation (search for similar items in EconPapers)
JEL-codes: G11 G24 (search for similar items in EconPapers)
Pages: 40 p.
New Economics Papers: this item is included in nep-cmp and nep-mst
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
Working Paper: Institutional herding in financial markets: New evidence through the lens of a simulated model (2014)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:diw:diwwpp:dp1336
Access Statistics for this paper
More papers in Discussion Papers of DIW Berlin from DIW Berlin, German Institute for Economic Research Contact information at EDIRC.
Bibliographic data for series maintained by Bibliothek ().