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Una Explicación Del Efecto Herding Desde El Mercado De Derivados

Author

Listed:
  • NATIVIDAD BLASCO DE LAS HERAS

    (Universidad de Zaragoza)

  • SANDRA FERRERUELA GARCÉS

    (Universidad de Zaragoza)

  • PILAR CORREDOR CASADO

    (Universidad Pública de Navarra)

Abstract

El objetivo de este trabajo es contribuir a la explicación del comportamiento imitador (herding) aportando la perspectiva del mercado de derivados. Para ello se analiza la intensidad de herding en el mercado de contado en momentos especialmente relevantes en el mercado de derivados como es el vencimiento. La medida de herding empleada es la propuesta por Patterson y Sharma (2006). El periodo analizado comprende desde el año 1997 hasta el 2003, lo que permite estudiar aspectos como la madurez del mercado de derivados o la coexistencia de contratos de opciones y futuros. Los resultados permiten afirmar que los inversores presentan un comportamiento imitador intensificado en la fecha del vencimiento, especialmente en la segunda mitad del periodo analizado, donde se presume un mayor grado de desarrollo del mercado.

Suggested Citation

  • Natividad Blasco De Las Heras & Sandra Ferreruela Garcés & Pilar Corredor Casado, 2010. "Una Explicación Del Efecto Herding Desde El Mercado De Derivados," Revista de Economia Aplicada, Universidad de Zaragoza, Departamento de Estructura Economica y Economia Publica, vol. 18(3), pages 161-196, Winter.
    • Handle: RePEc:rev:reveca:v:18:y:2010:i:3:p:161-196
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    Citations

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    Cited by:

    1. N. Blasco & P. Corredor & N. Satrústegui, 2022. "The witching week of herding on bitcoin exchanges," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-18, December.

    More about this item

    Keywords

    Efecto herding; mercado de derivados; fecha de vencimiento;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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