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Thin trading and its impact upon herding: the case of Israel

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  • Aikaterini Andronikidi
  • Vasileios Kallinterakis

Abstract

Emerging markets have been found to accommodate higher herding levels compared to their developed counterparts, yet very little attention has been drawn to the possible impact of thin trading over herding estimations, even though these markets are often typified by thin trading. We address this issue by testing for herding in the Israeli market using the methodology proposed by Hwang and Salmon (2004). Results indicate that correcting for thin trading renders herding more persistent and smoother in its evolution, thus indicating that thin trading leads to an underestimated picture of herding.

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  • Aikaterini Andronikidi & Vasileios Kallinterakis, 2010. "Thin trading and its impact upon herding: the case of Israel," Applied Economics Letters, Taylor & Francis Journals, vol. 17(18), pages 1805-1810.
    • Handle: RePEc:taf:apeclt:v:17:y:2010:i:18:p:1805-1810
    DOI: 10.1080/13504850903357327
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    Cited by:

    1. Rahman, M. Arifur & Chowdhury, Shah Saeed Hassan & Shibley Sadique, M., 2015. "Herding where retail investors dominate trading: The case of Saudi Arabia," The Quarterly Review of Economics and Finance, Elsevier, vol. 57(C), pages 46-60.
    2. Omokolade Akinsomi & Yener Coskun & Rangan Gupta & Chi Keung Marco Lau, 2016. "Impact of Volatility and Equity Market Uncertainty on Herd Behavior: Evidence from UK REITs," Working Papers 201688, University of Pretoria, Department of Economics.
    3. Puput Tri Komalasari & Marwan Asri & Bernardinus M. Purwanto & Bowo Setiyono, 2022. "Herding behaviour in the capital market: What do we know and what is next?," Management Review Quarterly, Springer, vol. 72(3), pages 745-787, September.
    4. Krokida, Styliani-Iris & Makrychoriti, Panagiota & Spyrou, Spyros, 2020. "Monetary policy and herd behavior: International evidence," Journal of Economic Behavior & Organization, Elsevier, vol. 170(C), pages 386-417.
    5. Aram Balagyozyan & Esin Cakan, 2016. "Did large institutional investors flock into the technology herd? An empirical investigation using a vector Markov-switching model," Applied Economics, Taylor & Francis Journals, vol. 48(58), pages 5731-5747, December.
    6. M.V. Lakshman & Sankarshan Basu & R. Vaidyanathan, 2013. "Market-wide Herding and the Impact of Institutional Investors in the Indian Capital Market," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 12(2), pages 197-237, August.

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