Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/103812 
Erscheinungsjahr: 
2014
Schriftenreihe/Nr.: 
SFB 649 Discussion Paper No. 2014-029
Verlag: 
Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk, Berlin
Zusammenfassung: 
This paper employs numerical simulations of the Park and Sabourian (2011) herd model to derive new theory-based predictions for how information risk and market stress influence aggregate herding intensity. We test these predictions empirically using a comprehensive data set of highfrequency and investor-speci c trading data from the German stock market. Exploiting intra-day patterns of institutional trading behavior, we confirm that higher information risk increases both buy and sell herding. The model also explains why buy, not sell, herding is more pronounced during the financial crisis.
Schlagwörter: 
Herd behavior
information risk
financial crisis
institutional trading
model simulation
Bootstrap
expectile regression
Goodness-of-fit tests
quantile treatment effect
smoothing and nonparametric regression
JEL: 
D81
D82
G14
Dokumentart: 
Working Paper

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