Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/103812
Authors: 
Boortz, Christopher
Kremer, Stephanie
Jurkatis, Simon
Nautz, Dieter
Year of Publication: 
2014
Series/Report no.: 
SFB 649 Discussion Paper 2014-029
Abstract: 
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.
Subjects: 
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
Document Type: 
Working Paper

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