Estimating a Structural Model of Herd Behavior in Financial Markets
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Note: DOI: 10.1257/aer.104.1.224
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Other versions of this item:
- Antonio Guarino & Marco Cipriani, 2010. "Estimating a Structural Model of Herd Behavior in Financial Markets," IMF Working Papers 2010/288, International Monetary Fund.
- Marco Cipriani & Antonio Guarino, 2012. "Estimating a structural model of herd behavior in financial markets," Staff Reports 561, Federal Reserve Bank of New York.
References listed on IDEAS
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American Economic Review, American Economic Association, vol. 95(5), pages 1403-1426, December.
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- Mathias Drehmann & Jörg Oechssler, 2004. "Herding and Contrarian Behavior in Financial Markets - An Internet Experiment," Econometric Society 2004 North American Winter Meetings 55, Econometric Society.
- Drehmann, Mathias & Oechssler, Jörg & Roider, Andreas, 2004. "Herding and Contrarian Behavior in Financial Markets - An Internet Experiment," Discussion Paper Series of SFB/TR 15 Governance and the Efficiency of Economic Systems 7, Free University of Berlin, Humboldt University of Berlin, University of Bonn, University of Mannheim, University of Munich.
- Drehmann, Mathias & Oechssler, Joerg & Roider, Andreas, 2003. "Herding and Contrarian Behavior in Financial Markets: An Internet Experiment," University of California at Santa Barbara, Economics Working Paper Series qt6zf5469f, Department of Economics, UC Santa Barbara.
- Drehmann, Mathias & Oechssler, Jörg & Roider, Andreas, 2002. "Herding and Contrarian Behavior in Financial Markets: An Internet Experiment," Bonn Econ Discussion Papers 25/2002, University of Bonn, Bonn Graduate School of Economics (BGSE).
- Roider, Andreas & Mathias Drehmann & Jorg Oechssler, 2003. "Herding and Contrarian Behavior in Financial Markets - An Internet Experiment," Royal Economic Society Annual Conference 2003 177, Royal Economic Society.
- Mathias Drehmann & Joerg Oechssler & Andreas Roider, 2002. "Herding and Contrarian Behavior in Financial Markets - An Internet Experiment," Finance 0210005, University Library of Munich, Germany.
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"Herd Behavior in Financial Markets: An Experiment with Financial Market Professionals,"
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- Marco Cipriani & Antonio Guarino, 2008. "Herd Behavior in Financial Markets: An Experiment with Financial Market Professionals," Working Papers 2009-16, The George Washington University, Institute for International Economic Policy.
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American Economic Review, American Economic Association, vol. 95(5), pages 1427-1443, December.
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Citations
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- Christoph Aymanns & Co-Pierre Georg, 2014. "Contagious Synchronization and Endogenous Network Formation in Financial Networks," Papers 1408.0440, arXiv.org.
- Marco Cipriani & Antonio Guarino, 2009.
"Herd Behavior in Financial Markets: An Experiment with Financial Market Professionals,"
Journal of the European Economic Association, MIT Press, vol. 7(1), pages 206-233, March.
- Marco Cipriani & Antonio Guarino, 2008. "Herd Behavior in Financial Markets; An Experiment with Financial Market Professionals," IMF Working Papers 2008/141, International Monetary Fund.
- Marco Cipriani & Antonio Guarino, 2008. "Herd Behavior in Financial Markets: An Experiment with Financial Market Professionals," Working Papers 2009-16, The George Washington University, Institute for International Economic Policy.
- Antonio Guarino & Marco Cipriani, 2008. "Herd Behavior in Financial Markets: An Experiment with Financial Market Professionals," WEF Working Papers 0047, ESRC World Economy and Finance Research Programme, Birkbeck, University of London.
- Al-Jarhi, Mabid Ali M. M., 2016.
"An Economic Theory of Islamic Finance Regulation,"
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- Al-Jarhi, Mabid, 2015. "An Economic Theory of Islamic Finance Regulation," MPRA Paper 72689, University Library of Munich, Germany, revised 01 Mar 2016.
- Kendall, Chad, 2018. "The time cost of information in financial markets," Journal of Economic Theory, Elsevier, vol. 176(C), pages 118-157.
- Xiong, Hang & Payne, Diane & Kinsella, Stephen, 2016. "Peer effects in the diffusion of innovations: Theory and simulation," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, vol. 63(C), pages 1-13.
- Cai, Fang & Han, Song & Li, Dan & Li, Yi, 2019.
"Institutional herding and its price impact: Evidence from the corporate bond market,"
Journal of Financial Economics, Elsevier, vol. 131(1), pages 139-167.
- Fang Cai & Song Han & Dan Li & Yi Li, 2016. "Institutional Herding and Its Price Impact : Evidence from the Corporate Bond Market," Finance and Economics Discussion Series 2016-091, Board of Governors of the Federal Reserve System (U.S.).
- Duygun, Meryem & Tunaru, Radu & Vioto, Davide, 2021. "Herding by corporates in the US and the Eurozone through different market conditions," Journal of International Money and Finance, Elsevier, vol. 110(C).
- da Gama Batista, João & Massaro, Domenico & Bouchaud, Jean-Philippe & Challet, Damien & Hommes, Cars, 2017.
"Do investors trade too much? A laboratory experiment,"
Journal of Economic Behavior & Organization, Elsevier, vol. 140(C), pages 18-34.
- Joao da Gama Batista & Domenico Massaro & Jean-Philippe Bouchaud & Damien Challet & Cars Hommes, 2015. "Do investors trade too much? A laboratory experiment," Papers 1512.03743, arXiv.org.
- João da Gama Batista & Domenico Massaro & Jean-Philippe Bouchaud & Damien Challet & Cars Hommes, 2017. "Do investors trade too much? A laboratory experiment," Post-Print hal-01244465, HAL.
- Noemi Schmitt & Frank Westerhoff, 2017.
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- Schmitt, Noemi & Westerhoff, Frank, 2016. "Herding behavior and volatility clustering in financial markets," BERG Working Paper Series 107, Bamberg University, Bamberg Economic Research Group.
- March, Christoph & Ziegelmeyer, Anthony, 2020.
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- Christoph March & Anthony Ziegelmeyer, 2016. "Altruistic Observational Learning," CESifo Working Paper Series 5792, CESifo.
- Frey, Stefan & Herbst, Patrick & Walter, Andreas, 2014. "Measuring mutual fund herding – A structural approach," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 32(C), pages 219-239.
- Marius Popescu & Zhaojin Xu, 2018. "Mutual fund herding and reputational concerns," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 42(3), pages 550-565, July.
- Duarte, Jefferson & Hu, Edwin & Young, Lance, 2020. "A comparison of some structural models of private information arrival," Journal of Financial Economics, Elsevier, vol. 135(3), pages 795-815.
- Ramos-Francia, Manuel & Garcia-Verdu, Santiago, 2018. "Is trouble brewing for emerging market economies? An empirical analysis of emerging market economies’ bond flows," Journal of Financial Stability, Elsevier, vol. 35(C), pages 172-191.
- Zhong, Guang-Yan & Li, Jiang-Cheng & Jiang, George J. & Li, Hai-Feng & Tao, Hui-Ming, 2018. "The time delay restraining the herd behavior with Bayesian approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 507(C), pages 335-346.
- Hwang, Soosung & Rubesam, Alexandre & Salmon, Mark, 2021. "Beta herding through overconfidence: A behavioral explanation of the low-beta anomaly," Journal of International Money and Finance, Elsevier, vol. 111(C).
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More about this item
JEL classification:
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- D82 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Asymmetric and Private Information; Mechanism Design
- D83 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Search; Learning; Information and Knowledge; Communication; Belief; Unawareness
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
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