Does herding affect volatility? Implications for the Spanish stock market

This is an accepted manuscript of an article published by Taylor & Francis in Quantitative Finance on February 2012, available online: http://dx.doi.org/10.1080/14697688.2010.516766

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:2012
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:2454/18653
Acceso en línea:https://hdl.handle.net/2454/18653
Access Level:acceso abierto
Palabra clave:Herding
Stock market
Volatility
Behavioral finance
id ES_f21eb149a4b504b44e993126eae91c2e
oai_identifier_str oai:academica-e.unavarra.es:2454/18653
network_acronym_str ES
network_name_str España
repository_id_str
spelling Does herding affect volatility? Implications for the Spanish stock marketBlasco de las Heras, NatividadCorredor Casado, María PilarFerreruela Garcés, SandraHerdingStock marketVolatilityBehavioral financeThis is an accepted manuscript of an article published by Taylor & Francis in Quantitative Finance on February 2012, available online: http://dx.doi.org/10.1080/14697688.2010.516766According to rational expectation models, uninformed or liquidity trading make market price volatility rise. This paper sets out to analyze the impact of herding, which may be interpreted as one of the components of uninformed trading, on the volatility of the Spanish stock market. Herding is examined at the intraday level, considered the most reliable sampling frequency for detecting this type of investor behavior, and measured using the Patterson and Sharma (2006) herding intensity measure. Different volatility measures (historical, realized and implied) are employed. The results confirm that herding has a direct linear impact on volatility for all of the volatility measures considered although the corresponding intensity is not always the same. In fact, herding variables seem to be useful in volatility forecasting and therefore in decision making when volatility is considered a key factor.Natividad Blasco and Sandra 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. Pilar 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.Taylor & FrancisGestión de EmpresasEnpresen Kudeaketa2012info:eu-repo/semantics/articleinfo:eu-repo/semantics/acceptedVersionapplication/pdfhttps://hdl.handle.net/2454/18653reponame:Academica-e. Repositorio Institucional de la Universidad Pública de Navarrainstname:Universidad Pública de NavarraInglésinfo:eu-repo/grantAgreement/MEC//SEJ2006-14809-C03-01info:eu-repo/grantAgreement/MICINN//ECO2009-12819-C03-01info:eu-repo/grantAgreement/MEC//SEJ2006-14809-C03-01info:eu-repo/grantAgreement/MICINN//ECO2009-12819-C03-01© 2012 Taylor & Francisinfo:eu-repo/semantics/openAccessoai:academica-e.unavarra.es:2454/186532026-06-17T12:41:47Z
dc.title.none.fl_str_mv Does herding affect volatility? Implications for the Spanish stock market
title Does herding affect volatility? Implications for the Spanish stock market
spellingShingle Does herding affect volatility? Implications for the Spanish stock market
Blasco de las Heras, Natividad
Herding
Stock market
Volatility
Behavioral finance
title_short Does herding affect volatility? Implications for the Spanish stock market
title_full Does herding affect volatility? Implications for the Spanish stock market
title_fullStr Does herding affect volatility? Implications for the Spanish stock market
title_full_unstemmed Does herding affect volatility? Implications for the Spanish stock market
title_sort Does herding affect volatility? Implications for 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 Herding
Stock market
Volatility
Behavioral finance
topic Herding
Stock market
Volatility
Behavioral finance
description This is an accepted manuscript of an article published by Taylor & Francis in Quantitative Finance on February 2012, available online: http://dx.doi.org/10.1080/14697688.2010.516766
publishDate 2012
dc.date.none.fl_str_mv 2012
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/2454/18653
url https://hdl.handle.net/2454/18653
dc.language.none.fl_str_mv Inglés
language_invalid_str_mv Inglés
dc.relation.none.fl_str_mv info:eu-repo/grantAgreement/MEC//SEJ2006-14809-C03-01
info:eu-repo/grantAgreement/MICINN//ECO2009-12819-C03-01
info:eu-repo/grantAgreement/MEC//SEJ2006-14809-C03-01
info:eu-repo/grantAgreement/MICINN//ECO2009-12819-C03-01
dc.rights.none.fl_str_mv © 2012 Taylor & Francis
info:eu-repo/semantics/openAccess
rights_invalid_str_mv © 2012 Taylor & Francis
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Taylor & Francis
publisher.none.fl_str_mv Taylor & Francis
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
_version_ 1869424249166364672
score 15.300724

Similares en LA Referencia