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Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/60944
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Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Cipriani, Marco | | en_US |
| dc.contributor.author | | Guarino, Antonio | | en_US |
| dc.date.accessioned | | 2012-06-05 | | en_US |
| dc.date.accessioned | | 2012-08-17T14:38:06Z | | - |
| dc.date.available | | 2012-08-17T14:38:06Z | | - |
| dc.date.issued | | 2012 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/60944 | | - |
| dc.description.abstract | | We 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.iso | | eng | | en_US |
| dc.publisher | | Federal Reserve Bank of New York New York, NY | | en_US |
| dc.relation.ispartofseries | | Staff Report, Federal Reserve Bank of New York 561 | | en_US |
| dc.subject.jel | | G14 | | en_US |
| dc.subject.jel | | D82 | | en_US |
| dc.subject.jel | | C13 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.keyword | | herd behavior | | en_US |
| dc.subject.keyword | | market microstructure | | en_US |
| dc.subject.keyword | | structural estimation | | en_US |
| dc.title | | Estimating a structural model of herd behavior in financial markets | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 717053849 | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | en_US |
| Appears in Collections: | | Staff Reports, Federal Reserve Bank of New York
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