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Herding by corporates in the US and the Eurozone through different market conditions
journal contribution
posted on 2023-06-09, 21:59 authored by Meryem Duygun, Radu TunaruRadu Tunaru, Davide ViotoIn 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 FinanceISSN
0261-5606Publisher
ElsevierExternal DOI
Volume
110Page range
1-29Article number
a102311Department affiliated with
- Accounting and Finance Publications
Full text available
- Yes
Peer reviewed?
- Yes
Legacy Posted Date
2020-10-27First Open Access (FOA) Date
2022-04-23First Compliant Deposit (FCD) Date
2020-10-26Usage metrics
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