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Title:New sight of herding behavioural through trading volume PDF Logo
Authors:Hachicha, Nizar
Issue Date:2010
Series/Report no.:Economics Discussion Papers 2010-11
Abstract:In this study, we employ an innovative new methodology inspired from the approach of Hwang and Salmon (2004) and based on the cross sectional dispersion of trading volume to examine the herding behavior on Toronto stock exchange. Our findings show that the herd phenomenon consists of three essential components: stationary herding which signals the existence of the phenomenon whatever the market conditions, intentional herding relative to the anticipations of the investors concerning the totality of assets, and the third component highlights that the current herding depends on the previous one which is the feedback herding.
Subjects:Herding behavior
market return
trading volume
Creative Commons License:
Document Type:Working Paper
Appears in Collections:Economics: The Open-Access, Open-Assessment E-Journal - Discussion Papers

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