کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
7352239 1476981 2017 30 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Herding effect on idiosyncratic volatility in U.S. industries
ترجمه فارسی عنوان
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موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
چکیده انگلیسی
This paper investigates the effect of herding behavior on excessive market idiosyncratic volatility in the U.S. stock market at a sectoral level. We carefully modify the cross sectional absolute deviation model to include trading volume and investors' sentiment as herding triggers, and show that herding is indeed present in almost every sector of the U.S. stock market during turmoil periods. Furthermore, our particularly designed GJR-GARCH model provides new insights on the effect of herding and volume turnover on the conditional volatility. The sample covers all listed companies in the American stock market over four major turmoil periods.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Finance Research Letters - Volume 23, November 2017, Pages 121-132
نویسندگان
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