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Estimating a Structural Model of Herd Behavior in Financial Markets
Antonio GuarinoMarco Cipriani
出版International Monetary Fund, 2010-12-01
主題Business & Economics / Finance / Financial Risk ManagementBusiness & Economics / Exports & ImportsBusiness & Economics / Finance / General
ISBN14552116999781455211692
URLhttp://books.google.com.hk/books?id=vJUYEAAAQBAJ&hl=&source=gbs_api
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註釋We develop a new methodology to estimate the importance of herd behavior in financial markets: we build a structural model of informational herding that can be estimated with financial transaction data. In the model, rational herding arises because of information-event uncertainty. We estimate the model using data on a NYSE stock (Ashland Inc.) during 1995. Herding often arises and is particularly pervasive on some days. The proportion of herd buyers (sellers) is 2 percent (4 percent) and is greater than 10 percent in 7 percent (11 percent) of information-event days. Herding causes important informational inefficiencies, amounting, on average, to 4 percent of the expected asset value.