Investor herding behavior is a primary source of speculative bubbles since it implies that investors make identical trading decisions, which can lead to stock prices deviating from their underlying worth. The goal this study detect in the Indonesian market between 2016 and 2021. relationship return volume, known as Cross Sectional Absolute Deviation, used assess (CSAD). Time-series regression q...

We offer evidence that variations in firm idiosyncratic volatility are related to both behavior and fundamental factors. Using Japanese data from 1975 to 1999, we document that both institutional herding and the absolute value of firm earnings are positively related to idiosyncratic volatility. We find that institutional herding explains about 10% of the cross-sectional variation in idiosyncrat...

Online product ratings are widely available on the Internet and are known to influence prospective buyers. An emerging literature has started to look at how ratings are generated and in particular how they are influenced by prior ratings. We study the social influence of prior ratings and, in particular, investigate any differential impact of prior ratings by strangers (“crowd”) versus friends....

We are looking for the agent-based treatment of the financial markets considering necessity to build bridges between microscopic, agent based, and macroscopic, phenomenological modeling. The acknowledgment that agent-based modeling framework, which may provide qualitative and quantitative understanding of the financial markets, is very ambiguous emphasizes the exceptional value of well defined ...

The aim of this study is to investigate the herding beta transmission between return and volatility. We have used dynamic conditional correlation model with mixed-data sampling (DCC-MIDAS) for analysis. evidence demonstrates that a key transmitter in Taiwan’s stock market. significant estimation DCC-MIDAS explains phenomenon highly time-varying behavior. By means based on our rolling forecastin...

This study uses the linear model based on the notion of cross-sectional standard deviation (CSSD) by Christie and Huang (1995) and nonlinear model based on cross-sectional absolute deviation (CSAD) proposed by Chang et al. (2000) to provide evidence for the existence of herding behaviour by investors in Taiwan during the period January 4, 2000 to December 28, 2012. We examine whether returns, v...

Markov chains have experienced a surge of economic interest in the form of behavioral agent-based models that aim at explaining the statistical regularities of financial returns. We review some of the relevant mathematical facts and show how they apply to agent-based herding models, with the particular goal of establishing their asymptotic behavior because several studies have pointed out that ...