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Do Investors Herd During Extreme Periods in Thin Markets? Evidence from Banja Luka

In: Financial Systems Integration of Balkan Countries in the European Financial System: Impact of Global Crisis

Author

Listed:
  • Vasileios Kallinterakis

    (University of Durham, Department of Economics and Finance)

  • Nomana Munir

    (University of Durham, Department of Economics and Finance)

  • Mirjana Radovic-Markovic

    (Institute of Economic Sciences, Belgrade)

Abstract

A large amount of studies has attempted to trace the presence of herding during extreme periods at the cross-sectional level by associating herding with the reduction in the cross-sectional dispersion of returns around the market average. In this paper we address the issue of whether the estimation of herding on the premises of such frameworks is robust to the thin trading bias whose presence is particularly prevalent in emerging markets. Our study is undertaken in the context of the Banja Luka stock exchange which is one of the world’s most recently established markets. Results indicate that herding is insignificant during extreme return periods with its insignificance persisting even after controlling for thin trading.

Suggested Citation

  • Vasileios Kallinterakis & Nomana Munir & Mirjana Radovic-Markovic, 2009. "Do Investors Herd During Extreme Periods in Thin Markets? Evidence from Banja Luka," Book Chapters, in: Claude Berthomieu & Jean-Paul Guichard & Dejan Eric & Srdjan Redzepagic (ed.), Financial Systems Integration of Balkan Countries in the European Financial System: Impact of Global Crisis, edition 1, volume 1, chapter 11, pages 92-101, Institute of Economic Sciences.
    • Handle: RePEc:ibg:chaptr:finsys-11
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    References listed on IDEAS

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