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Herding by corporates in the US and the Eurozone through different market conditions

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journal contribution
posted on 2023-06-09, 21:59 authored by Meryem Duygun, Radu TunaruRadu Tunaru, Davide Vioto
In this study, we test the herding towards a market consensus in the main financial industries of the United States and the Eurozone equity markets. We find that herding is more likely to be present in high quantiles that reflects turbulent market conditions. This herding appears to be more pronounced during financial crisis periods and in cases of asymmetric conditions of volatility, credit deterioration, and illiquid funding. Furthermore, we provide evidence that the cross-sectional dispersion of returns throughout the domestic equity market can be partly explained by the corresponding dispersions of the financial industries. In our analysis we cover the last two main global financial crises and identify new evidence of “spurious” and “intentional” herding by corporates. Further, our results are robust when considering short-selling bans.

History

Publication status

  • Published

File Version

  • Accepted version

Journal

Journal of International Money and Finance

ISSN

0261-5606

Publisher

Elsevier

Volume

110

Page range

1-29

Article number

a102311

Department affiliated with

  • Accounting and Finance Publications

Full text available

  • Yes

Peer reviewed?

  • Yes

Legacy Posted Date

2020-10-27

First Open Access (FOA) Date

2022-04-23

First Compliant Deposit (FCD) Date

2020-10-26

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