Corpus ID: 16047106

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

@inproceedings{Patterson2007DidHC,
  title={Did Herding Cause the Stock Market Bubble of 1998-2001 ?},
  author={Douglas M. Patterson and Amex and Vivek Sharma},
  year={2007}
}
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
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