Corpus ID: 16047106

Did Herding Cause the Stock Market Bubble of 1998-2001 ?

  title={Did Herding Cause the Stock Market Bubble of 1998-2001 ?},
  author={Douglas M. Patterson and Amex and Vivek Sharma},
This paper tests for the presence of herding on the New York Stock Exchange (NYSE) from 1998-2001 using a set of two new methodologies based on (1) a bootstrapped runs test, and (2), a test of dependence in the observed interarrival times of trades. Our first and the most important finding is that the NYSE appears to function efficiently for the most part, and shows little evidence of systemic herding. Second, the herding is largely confined to smaller stocks. Third, we find a weak negative… Expand
Do Carbon Traders Behave as a Herd?
This paper analyzes the presence of herding behavior in the European Futures Carbon Market. This is a blind market in which the vast majority of investors are institutional. Both features lead us toExpand
Herding in Middle Eastern Frontier Markets: Are Local and Global Factors Important?
Abstract In this study we look for sentimental herding in a sample of frontier markets in the Middle East, using a state-space approach. The stock markets we consider are Oman, Bahrain, Qatar, andExpand
Herding Behavior in Emerging and Frontier Stock Markets During Pandemic Influenza Panics
We apply Return Dispersion Model by calculating CSAD (Cross-sectional standard deviation of return) and State Space Model to identify herding behavior in the period of pandemic (H1N1 and COVID-19)Expand
Unraveling Hidden Queer Pattern Through Fractal Analysis
The behavioral finance studies are ought to be the trading strategies as the investor’s and other financial market participants’ decision-making and judgments are driven by the information availableExpand
The Effects of a 'Black Swan' Event (COVID-19) on Herding Behavior in Cryptocurrency Markets: Evidence from Cryptocurrency USD, EUR, JPY and KRW Markets
This paper analyses herding in cryptocurrency markets in the time of the COVID-19 pandemic. We employ a combination of quantitative methods to hourly prices of the four most traded cryptocurrencyExpand
Investigation of the fractal footprint in selected EURIBOR panel banks
EURIBOR emerged as a conventional proxy for a risk-free rate for a reasonably long period of time after the creation of the Eurozone. However, the joy was short-lived, as the global credit crisisExpand
The efficient market hypothesis assumes that investors behave rationally, by using all relevant information, and analyse it in the most effective way to achieve the best possible outcome. However,Expand
Unmasking Herd behavior in ASEAN Countries
This paper includes the detection of Herd Behavior and bubbles in ASEAN countries and some other countries as well through different methods.
The Expedition of Fractals
The expedition of Fractals will serve as a basis for studying the herd behavior in Latin American Countries.
The effects of a “black swan” event (COVID-19) on herding behavior in cryptocurrency markets
This paper analyses herding in cryptocurrency markets in the time of the COVID-19 pandemic. We employ a combination of quantitative methods to hourly prices of the four most traded cryptocurrencyExpand


Do Investors Herd Intraday in the Australian Equities Market?
Herding among investors is a popular behavioral explanation for the excess variability and short-term trends observed in financial markets. Most empirical studies, however, fail to find evidence ofExpand
Multidimensional Uncertainty and Herd Behavior in Financial Markets
The authors study the relationship between asset prices and herd behavior, which occurs when traders follow the trend in past trades. When traders have private information on only a single dimensionExpand
Following the Pied Piper: Do Individual Returns Herd around the Market?
Do equity returns indicate the presence of herd behavior on the part of investors during periods of market stress? To test this proposition, the cross-sectional standard deviation of returns, orExpand
Herd on the Street: Informational Inefficiencies in a Market with Short-Term Speculation
Standard models of informed speculation suggest that traders try to learn information that others do not have. This result implicitly relies on the assumption that speculators have long horizons,Expand
What moves stock prices?
This paper estimates the fraction of the variance in aggregate stock returns that can be attributed to various kinds of news. First, we consider macroeconomic news and show that it is difficult toExpand
Momentum Investment Strategies, Portfolio Performance, and Herding: A Study of Mutual Fund Behavior
This study analyzes the extent to which mutual funds purchase stocks based on their past returns as well as their tendency to exhibit 'herding' behavior (i.e., buying and selling the same stocks atExpand
Herding and feedback trading of institutional investors
Documents show that there is a strong positive correlation between changes in institutional ownership and returns measured over the same quarter.The results suggest that either institutionalExpand
Institutional Herding
Institutional investors' demand for a security this quarter is positively correlated with their demand for the security last quarter. These results are attributed to institutional investors followingExpand
The impact of institutional trading on stock prices *
This paper uses new data on the holdings of 769 tax-exempt (predominantly pension) funds. to evaluate the potential effect of their trading on stock prices. We address two aspects of trading by theseExpand
A Direct Test of Methods for Inferring Trade Direction from Intra-Day Data
This study directly tests the ability of several competing methods to identify market buy and sell orders using intra-day quote and trade prices, and identifies factors that affect the accuracy ofExpand