Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/30149
Authors: 
Hachicha, Nizar
Year of Publication: 
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
JEL: 
D53
G12
C13
Creative Commons License: 
http://creativecommons.org/licenses/by-nc/2.0/de/deed.en
Document Type: 
Working Paper

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