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Herding and Measurement Problems Proposition of Dynamic Measure

Author

Listed:
  • Hachicha Nizar
  • Hela Chakroun
  • Bouri
  • Hela Chakroun
  • Abdelfettah Bouri

Abstract

The topic of interest in this study is herding behaviour in the stock market. We propose a new herd measure which is based on the cross-sectional dispersion of beta to detect the prevalence of herding phenomenon towards the market. The application of our new measure to TUNEDEX and BVMT indexes- as representatives of the Tunisian market- provide better results than those obtained by the cross-sectional stock priceís models developed by Christie and Huang (1995), Chang, Cheng and Khorana (2000) and Hwang and Salmon (2001, 2004). Moreover our findings show that the herd phenomenon consists of three essential components: constant term of herding which signals the existence of the phenomenon whatever the market conditions, the error term relative to the anticipations of the investors concerning the totality of assets, and the third component highlights that the current herding depends on the previous one.

Suggested Citation

  • Hachicha Nizar & Hela Chakroun & Bouri & Hela Chakroun & Abdelfettah Bouri, 2007. "Herding and Measurement Problems Proposition of Dynamic Measure," ERES eres2007_171, European Real Estate Society (ERES).
    • Handle: RePEc:arz:wpaper:eres2007_171
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    File URL: https://eres.architexturez.net/doc/oai-eres-id-eres2007-171
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    Cited by:

    1. Leila Gharbi & Khamoussi Halioui, 2011. "La juste valeur des instruments financiers : Un nouveau canal de contagion ?," Post-Print hal-00650435, HAL.
    2. Chong, Oiping & Bany- Ariffin, A.N. & Matemilola, Bolaji Tunde & McGowan, C.B., 2020. "Can China’s cross-sectional dispersion of stock returns influence the herding behaviour of traders in other local markets and China’s trading partners?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 65(C).

    More about this item

    JEL classification:

    • R3 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location

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