IDEAS home Printed from https://ideas.repec.org/p/ete/afiper/485228.html

Option prices and model-free measurement of implied herd behavior in stock markets

Author

Listed:
  • Daniël Linders
  • Jan Dhaene
  • Wim Schoutens

Abstract

In this paper, we introduce two classes of indices which can be used to measure the market perception concerning the degree of dependency that exists between a set of random variables, representing different stock prices at a fi xed future date. The construction of these measures is based on the theory of comonotonicity. Both types of herd behavior indices are model-free and risk-neutral, derived from available option data. Depending on its particular de finition, each index represents a particular aspect of the market sentiment concerning future co-movement of the underlying stock prices.

Suggested Citation

  • Daniël Linders & Jan Dhaene & Wim Schoutens, 2015. "Option prices and model-free measurement of implied herd behavior in stock markets," Working Papers Department of Accountancy, Finance and Insurance (AFI), Leuven 485228, KU Leuven, Faculty of Economics and Business (FEB), Department of Accountancy, Finance and Insurance (AFI), Leuven.
    • Handle: RePEc:ete:afiper:485228
    as

    Download full text from publisher

    File URL: https://lirias.kuleuven.be/retrieve/867db0a5-8b1a-4cac-933f-78c820b77182
    Download Restriction: no
    ---><---

    Other versions of this item:

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. is not listed on IDEAS
    2. Lee Woojoo & Ahn Jae Youn, 2017. "Measuring herd behavior: properties and pitfalls," Dependence Modeling, De Gruyter, vol. 5(1), pages 316-329, December.

    More about this item

    Keywords

    ;
    ;
    ;
    ;
    ;
    ;
    ;

    JEL classification:

    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ete:afiper:485228. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: library EBIB (email available below). General contact details of provider: https://feb.kuleuven.be/AFI .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.