Detecting intentional herding: what lies beneath intraday data in the Spanish stock market

This is a post-peer-review, pre-copyedit version of an article published in Journal of Operational Research Society. The definitive publisher-authenticated version [Blasco, N., Corredor, P. and Ferreruela, S. (2011): Detecting intentional herding: what lies beneath intraday data in the Spanish stock...

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Detalles Bibliográficos
Autores: Blasco de las Heras, Natividad, Corredor Casado, María Pilar, Ferreruela Garcés, Sandra
Tipo de recurso: artículo
Estado:Versión aceptada para publicación
Fecha de publicación:2011
País:España
Institución:Universidad Pública de Navarra
Repositorio:Academica-e. Repositorio Institucional de la Universidad Pública de Navarra
OAI Identifier:oai:academica-e.unavarra.es:2454/18649
Acceso en línea:https://hdl.handle.net/2454/18649
Access Level:acceso abierto
Palabra clave:Behaviour
Herding
Finance
Time series
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spelling Detecting intentional herding: what lies beneath intraday data in the Spanish stock marketBlasco de las Heras, NatividadCorredor Casado, María PilarFerreruela Garcés, SandraBehaviourHerdingFinanceTime seriesThis is a post-peer-review, pre-copyedit version of an article published in Journal of Operational Research Society. The definitive publisher-authenticated version [Blasco, N., Corredor, P. and Ferreruela, S. (2011): Detecting intentional herding: what lies beneath intraday data in the Spanish stock market. Journal of the Operational Research Society 62, 1056–1066. doi:10.1057/jors.2010.34] is available online at: http://www.palgrave-journals.com/jors/journal/v62/n6/pdf/jors201034a.pdfThis paper examines the intentional herd behaviour of market participants, using Li´s test to compare the probability distributions of the scaled cross-sectional deviation in returns in the intraday market with the cross-sectional deviation in returns in an “artificially created” market free of intentional herding effects. The analysis is carried out for both the overall market and a sample of the most representative stocks. Additionally, a bootstrap procedure is applied in order to gain a deeper understanding of the differences across the distributions under study. The results show that the Spanish market exhibits a significant intraday herding effect that is not detected using other traditional herding measures when familiar and heavily traded stocks are analysed. Furthermore, it is suggested that intentional herding is likely to be better revealed using intraday data, and that the use of a lower frequency data may obscure results revealing imitative behaviour in the market.N. Blasco and S. Ferreruela wish to acknowledge the financial support of the Spanish Ministry of Education and Science (SEJ2006-14809-C03- 03/ECON), the Spanish Ministry of Science and Innovation (ECO2009- 12819-C03-02), ERDF funds, the Caja de Ahorros de la Inmaculada (Europe XXI Programme) and the Government of Aragon. P. Corredor is grateful for the financial support of the Spanish Ministry of Education and Science (SEJ2006-14809-C03-01), the Spanish Ministry of Science and Innovation (ECO2009-12819-C03-01), ERDF funds and the Government of Navarra.Palgrave MacmillanGestión de EmpresasEnpresen Kudeaketa2011info:eu-repo/semantics/articleinfo:eu-repo/semantics/acceptedVersionapplication/pdfhttps://hdl.handle.net/2454/18649reponame:Academica-e. Repositorio Institucional de la Universidad Pública de Navarrainstname:Universidad Pública de NavarraInglés© 2011 Operational Research Society Ltd. All rights reserved.info:eu-repo/semantics/openAccessoai:academica-e.unavarra.es:2454/186492026-06-17T12:41:47Z
dc.title.none.fl_str_mv Detecting intentional herding: what lies beneath intraday data in the Spanish stock market
title Detecting intentional herding: what lies beneath intraday data in the Spanish stock market
spellingShingle Detecting intentional herding: what lies beneath intraday data in the Spanish stock market
Blasco de las Heras, Natividad
Behaviour
Herding
Finance
Time series
title_short Detecting intentional herding: what lies beneath intraday data in the Spanish stock market
title_full Detecting intentional herding: what lies beneath intraday data in the Spanish stock market
title_fullStr Detecting intentional herding: what lies beneath intraday data in the Spanish stock market
title_full_unstemmed Detecting intentional herding: what lies beneath intraday data in the Spanish stock market
title_sort Detecting intentional herding: what lies beneath intraday data in the Spanish stock market
dc.creator.none.fl_str_mv Blasco de las Heras, Natividad
Corredor Casado, María Pilar
Ferreruela Garcés, Sandra
author Blasco de las Heras, Natividad
author_facet Blasco de las Heras, Natividad
Corredor Casado, María Pilar
Ferreruela Garcés, Sandra
author_role author
author2 Corredor Casado, María Pilar
Ferreruela Garcés, Sandra
author2_role author
author
dc.contributor.none.fl_str_mv Gestión de Empresas
Enpresen Kudeaketa
dc.subject.none.fl_str_mv Behaviour
Herding
Finance
Time series
topic Behaviour
Herding
Finance
Time series
description This is a post-peer-review, pre-copyedit version of an article published in Journal of Operational Research Society. The definitive publisher-authenticated version [Blasco, N., Corredor, P. and Ferreruela, S. (2011): Detecting intentional herding: what lies beneath intraday data in the Spanish stock market. Journal of the Operational Research Society 62, 1056–1066. doi:10.1057/jors.2010.34] is available online at: http://www.palgrave-journals.com/jors/journal/v62/n6/pdf/jors201034a.pdf
publishDate 2011
dc.date.none.fl_str_mv 2011
dc.type.none.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/acceptedVersion
format article
status_str acceptedVersion
dc.identifier.none.fl_str_mv https://hdl.handle.net/2454/18649
url https://hdl.handle.net/2454/18649
dc.language.none.fl_str_mv Inglés
language_invalid_str_mv Inglés
dc.rights.none.fl_str_mv © 2011 Operational Research Society Ltd. All rights reserved.
info:eu-repo/semantics/openAccess
rights_invalid_str_mv © 2011 Operational Research Society Ltd. All rights reserved.
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Palgrave Macmillan
publisher.none.fl_str_mv Palgrave Macmillan
dc.source.none.fl_str_mv reponame:Academica-e. Repositorio Institucional de la Universidad Pública de Navarra
instname:Universidad Pública de Navarra
instname_str Universidad Pública de Navarra
reponame_str Academica-e. Repositorio Institucional de la Universidad Pública de Navarra
collection Academica-e. Repositorio Institucional de la Universidad Pública de Navarra
repository.name.fl_str_mv
repository.mail.fl_str_mv
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score 15.300719

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