Does thin Trading Impact Upon the Measurement of Herding? Evidence from Bulgaria
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.
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Volume (Year): 10 (2007)
Issue (Month): 1 (Summer)
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