期刊
QUANTITATIVE FINANCE
卷 12, 期 2, 页码 311-327出版社
ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD
DOI: 10.1080/14697688.2010.516766
关键词
Herding; Capital markets; Behavioral finance; Volatility
类别
资金
- Spanish Ministry of Education and Science [SEJ2006-14809-C03-03/ECON, SEJ2006-14809-C03-01]
- Spanish Ministry of Science and Innovation [ECO2009-12819-C03-02, ECO2009-12819-C03-01]
- ERDF
- Caja de Ahorros de la Inmaculada
- Government of Aragon
- Government of Navarra
According to rational expectation models, uninformed or liquidity trading make market price volatility rise. This paper sets out to analyse 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 (Working Paper, University of Michigan-Dearborn, 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.
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