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Measuring herd behavior: properties and pitfalls

Author

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  • Lee Woojoo

    (Department of Statistics, Inha University, 235 Yonghyun-Dong, Nam-Gu, Incheon 402-751, Korea Republic of)

  • Ahn Jae Youn

    (Department of Statistics, Ewha Womans University, 11-1 Daehyun-Dong, Seodaemun-Gu, Seoul 120-750, Korea Republic of)

Abstract

Herd behavior is an important economic phenomenon, especially in the context of the recent financial crises. Prior studies propose several measures to quantify herd behavior. In this paper, we show that these measures reflect different perspectives on this behavior, and hence, their interpretation requires great care. Taking a critical attitude toward existing herd behavior measures, we study their properties and pitfalls in detail.

Suggested Citation

  • Lee Woojoo & Ahn Jae Youn, 2017. "Measuring herd behavior: properties and pitfalls," Dependence Modeling, De Gruyter, vol. 5(1), pages 316-329, December.
    • Handle: RePEc:vrs:demode:v:5:y:2017:i:1:p:316-329:n:19
    DOI: 10.1515/demo-2017-0019
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    References listed on IDEAS

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