Herding behavior among wine investors

Beysül Aytaç, Guillaume Coqueret () and Cyrille Mandou
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Beysül Aytaç: Groupe Sup de Co Montpellier (GSCM) - Montpellier Business School
Guillaume Coqueret: Groupe Sup de Co Montpellier (GSCM) - Montpellier Business School
Cyrille Mandou: PSB - Paris School of Business - HESAM - HESAM Université - Communauté d'universités et d'établissements Hautes écoles Sorbonne Arts et métiers université

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Abstract: We propose a detailed and comprehensive examination of the two main regression-based techniques used to detect herding among investors. We also introduce a novel approach based on the autocorrelation of returns. We test all models on a unique dataset of wine prices. For the first two models, our conclusions highlight the importance of macroeconomic variables (US equities) on the dispersion of wine returns. Thus, if wine investors herd, it is essentially because of external contingencies and they are not driven by the state of the wine market itself. The third (new) model seems to indicate that there is at most weak evidence of herding and the conclusions are robust when controlling for the state of the US equity market.

Keywords: Herding behavior; Market-wide herding; Wine market; Cross-sectional dispersion (search for similar items in EconPapers)
Date: 2018-01-01
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Citations: View citations in EconPapers (12)

Published in Economic Modelling, 2018, 68, 318-328 p. ⟨10.1016/j.econmod.2017.07.022⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-02312228

DOI: 10.1016/j.econmod.2017.07.022

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