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Analyzing Herd Behavior in Global Stock Markets: An Intercontinental Comparison


  • Changki Kim
  • Yangho Choi
  • Woojoo Lee
  • Jae Youn Ahn


Herd behavior is an important economic phenomenon, especially in the context of the recent financial crises. In this paper, herd behavior in global stock markets is investigated with a focus on intercontinental comparison. Since most existing herd behavior indices do not provide a comparative method, we propose a new herd behavior index and demonstrate its desirable properties through simple theoretical models. As for empirical analysis, we use global stock market data from Morgan Stanley Capital International to study herd behavior especially during periods of financial crises in detail.

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  • Changki Kim & Yangho Choi & Woojoo Lee & Jae Youn Ahn, 2013. "Analyzing Herd Behavior in Global Stock Markets: An Intercontinental Comparison," Papers 1308.3966,
  • Handle: RePEc:arx:papers:1308.3966

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    References listed on IDEAS

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    7. Dhaene, Jan & Linders, Daniël & Schoutens, Wim & Vyncke, David, 2012. "The Herd Behavior Index: A new measure for the implied degree of co-movement in stock markets," Insurance: Mathematics and Economics, Elsevier, vol. 50(3), pages 357-370.
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    Cited by:

    1. Jae Youn Ahn, 2015. "Negative Dependence Concept in Copulas and the Marginal Free Herd Behavior Index," Papers 1503.03180,
    2. Lee, Woojoo & Ahn, Jae Youn, 2014. "On the multidimensional extension of countermonotonicity and its applications," Insurance: Mathematics and Economics, Elsevier, vol. 56(C), pages 68-79.

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