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Does thin Trading Impact Upon the Measurement of Herding? Evidence from Bulgaria

Author

Listed:
  • Vasileios Kallinterakis

    (University of Durham Business School, Department of Economics and Finance, Durham, United Kingdom)

  • Tatyana Kratunova

    (Naba Invest JSK Varna, Bulgaria)

Abstract

Research 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.

Suggested Citation

  • Vasileios Kallinterakis & Tatyana Kratunova, 2007. "Does thin Trading Impact Upon the Measurement of Herding? Evidence from Bulgaria," Ekonomia, Cyprus Economic Society and University of Cyprus, vol. 10(1), pages 42-65, Summer.
  • Handle: RePEc:ekn:ekonom:v:10:y:2007:i:1:p:42-65
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    Cited by:

    1. repec:eco:journ1:2017-02-85 is not listed on IDEAS
    2. Andreea Pece, 2014. "The Herding Behavior On Small Capital Markets: Evidence From Romania," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, vol. 1(1), pages 795-801, July.
    3. 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.
    4. Pegah Dehghani & Ros Zam Zam Sapian, 2014. "Sectoral herding behavior in the aftermarket of Malaysian IPOs," Venture Capital, Taylor & Francis Journals, vol. 16(3), pages 227-246, July.

    More about this item

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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