EconStor >
Federal Reserve Bank of New York >
Staff Reports, Federal Reserve Bank of New York >

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10419/60944
  

Full metadata record

DC FieldValueLanguage
dc.contributor.authorCipriani, Marcoen_US
dc.contributor.authorGuarino, Antonioen_US
dc.date.accessioned2012-06-05en_US
dc.date.accessioned2012-08-17T14:38:06Z-
dc.date.available2012-08-17T14:38:06Z-
dc.date.issued2012en_US
dc.identifier.urihttp://hdl.handle.net/10419/60944-
dc.description.abstractWe develop a new methodology for estimating the importance of herd behavior in financial markets. Specifically, we build a structural model of informational herding that can be estimated with financial transaction data. In the model, rational herding arises because of information-event uncertainty. We estimate the model using 1995 stock market data for Ashland Inc., a company listed on the New York Stock Exchange. Herding occurs often and is particularly pervasive on certain days. In an information-event day, on average, 2 percent (4 percent) of informed traders herd-buy (sell). In 7 percent (11 percent) of information-event days, the proportion of informed traders who herd-buy (sell) is greater than 10 percent. Herding causes important informational inefficiencies, amounting, on average, to 4 percent of the asset's expected value.en_US
dc.language.isoengen_US
dc.publisherFederal Reserve Bank of New York New York, NYen_US
dc.relation.ispartofseriesStaff Report, Federal Reserve Bank of New York 561en_US
dc.subject.jelG14en_US
dc.subject.jelD82en_US
dc.subject.jelC13en_US
dc.subject.ddc330en_US
dc.subject.keywordherd behavioren_US
dc.subject.keywordmarket microstructureen_US
dc.subject.keywordstructural estimationen_US
dc.titleEstimating a structural model of herd behavior in financial marketsen_US
dc.typeWorking Paperen_US
dc.identifier.ppn717053849en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
Appears in Collections:Staff Reports, Federal Reserve Bank of New York

Files in This Item:
File Description SizeFormat
717053849.pdf562.66 kBAdobe PDF
No. of Downloads: Counter Stats
Show simple item record
Download bibliographical data as: BibTeX

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.