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Orientador(es)
Resumo(s)
The behavioural expressions of herding and feedback trading maintain
properties that render their coexistence a possibility. Although their joint presence has
been largely confirmed by empirical work in the Finance literature at the micro level
(i.e. using micro data), the pursuit of this issue at the macro level (i.e. the level of the
aggregate market) has remained largely unexplored. To that end, we jointly test for
herding and feedback trading at the market level using data from the Portuguese
market for the 1993-2005 period. Our results indicate the combined significant
presence of herding and positive feedback trading for that period, with this
significance exhibiting signs of clustering during the second half of the 1990s, which
accommodated a series of boom-bust episodes for that market.
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Contexto Educativo
Citação
FERREIRA, Mário Pedro - Herding and feedback trading: Evidence on their relationship at the macro level. Social Science Research Network. 39p.
Editora
SSRN - Social Science Research Network