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Detecting intentional herding: what lies beneath intraday data in the spanish stock market

Author

Listed:
  • Natividad Blasco

    () (Department of Accounting and Finance (University of Zaragoza, Spain))

  • Pilar Corredor

    (Department of Business Administration (Public University of Navarre, Spain))

  • Sandra Ferreruela

    (Department of Accounting and Finance (University of Zaragoza, Spain))

Abstract

This paper examines the intentional herd behaviour of market participants using a new bootstrap-based approach that compares the scaled cross-sectional deviation of returns in the intraday market with the cross-sectional deviation of returns of an “artificially created” market free of intentional herding effects. The analysis is carried out for both the overall market and a sample of the most representative. The results show that the Spanish market exhibits a significant intraday herding effect that is not detected using other traditional measures when familiar stocks are analysed. Furthermore, it is suggested that herding is likely to be better revealed using intraday data.

Suggested Citation

  • Natividad Blasco & Pilar Corredor & Sandra Ferreruela, 2009. "Detecting intentional herding: what lies beneath intraday data in the spanish stock market," Documentos de Trabajo dt2009-01, Facultad de Ciencias Económicas y Empresariales, Universidad de Zaragoza.
  • Handle: RePEc:zar:wpaper:dt2009-01
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    File URL: http://www.dteconz.unizar.es/DT2009-01.pdf
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    References listed on IDEAS

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    More about this item

    Keywords

    Behaviour; finance; time series;

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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