Institutional herding in financial markets: New evidence through the lens of a simulated model

Christopher Boortz, Simon Jurkatis, Stephanie Kremer and Dieter Nautz

VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy from Verein für Socialpolitik / German Economic Association

Abstract: 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, investorspecific 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.

JEL-codes: G01 G11 G21 (search for similar items in EconPapers)
Date: 2014
New Economics Papers: this item is included in nep-cmp, nep-fmk and nep-mst
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Citations: View citations in EconPapers (4)

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Related works:
Working Paper: Institutional Herding in Financial Markets: New Evidence through the Lens of a Simulated Model (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:vfsc14:100455

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