Does thin Trading Impact Upon the Measurement of Herding? Evidence from Bulgaria
AbstractResearch in Finance has revealed the presence of higher hearding levels in emerging capital markets compared to their developed counterparts. However, although emerging markets are often typified by thin trading, the latter has never been accounted for in herding estimations. We address this issue for the first time by testing for herding in the Bulgarian market using the methodology proposed by Hwang and Salmon (2004). Results indicate that thin trading leads to an underestimated picture of herding, thus producing evidence in favor of the impact of thin trading upon the measurement of herding.
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Bibliographic InfoArticle provided by Cyprus Economic Society and University of Cyprus in its journal Ekonomia.
Volume (Year): 10 (2007)
Issue (Month): 1 (Summer)
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- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
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- Guglielmo Maria Caporale & Nikolaos Philippas & Fotini Economou, 2008. "Herding behaviour in extreme market conditions: the case of the Athens Stock Exchange," Economics Bulletin, AccessEcon, vol. 7(17), pages 1-13.
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