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Study on time-varying herd behavior in individual stocks  

Park, Beum-Jo (Department of Economics, Dankook University)
Publication Information
Journal of the Korean Data and Information Science Society / v.22, no.3, 2011 , pp. 423-436 More about this Journal
Abstract
Many of the theoretical studies have considered herd behavior as a source of the volatility in financial markets, but there have been few empirical studies on the dynamic herding due to the technical difficulty of detecting herd behavior with time-series data. In this context, this paper proposes a new method for measuring time-varying herd behavior based on QR-GARCH model. Using daily data of KOSPI stocks, this paper provides some empirical evidence for strong and volatile herding among traders of stocks of medium firms, and shows that time-varying herd behavior in traders of some stocks has persistent autocorrelation.
Keywords
Herd behavior of stock traders; method for measuring time-varying herd behavior; QR-GARCH model; volatility;
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Times Cited By KSCI : 4  (Citation Analysis)
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