Impact of Volatility and Equity Market Uncertainty on Herd Behavior: Evidence from UK REITs
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More about this item
KeywordsHerd behavior; UK REITs; Markov-switching; Time-varying probabilities;
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2017-01-01 (All new papers)
- NEP-FMK-2017-01-01 (Financial Markets)
- NEP-URE-2017-01-01 (Urban & Real Estate Economics)
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