Measuring herd behavior: properties and pitfalls

Measuring herd behavior: properties and pitfalls AbstractHerd 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. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Dependence Modeling de Gruyter

Measuring herd behavior: properties and pitfalls

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Publisher
de Gruyter
Copyright
© 2018
ISSN
2300-2298
eISSN
2300-2298
D.O.I.
10.1515/demo-2017-0019
Publisher site
See Article on Publisher Site

Abstract

AbstractHerd 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.

Journal

Dependence Modeling – de Gruyter

Published: Dec 20, 2017

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