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An�lisis del comportamiento imitador intrad�a en el mercado de valores espa�ol durante el periodo de crisis 2008-2009

Author

Listed:
  • Alicia Mar�n Solano

    (Faculty of Economics and Business Studies, Universidad de Zaragoza)

  • Sandra Ferreruela Garc�s

    (Faculty of Economics and Business Studies, Universidad de Zaragoza)

Abstract

: El objetivo del presente trabajo es analizar si es posible localizar efecto herding entre los inversores durante la reciente crisis financiera en el mercado de valores espa�ol. Partiendo de datos de frecuencia intradiaria para el periodo 2008-2009, se calcula la medida de la desviaci�n absoluta de corte transversal propuesta por Chang et al. (2000) y se introduce un t�rmino no lineal en la especificaci�n de la regresi�n para captar el efecto imitador. Los resultados ponen de manifiesto que no hay evidencia de dicho efecto para el mercado y periodo analizados. Se estudian tambi�n otras variaciones, como la asimetr�a en el herding, los movimientos extremos en el mercado y el periodo de mayor auge en la crisis, obteniendo resultados consistentes en todos los casos.

Suggested Citation

  • Alicia Mar�n Solano & Sandra Ferreruela Garc�s, 2014. "An�lisis del comportamiento imitador intrad�a en el mercado de valores espa�ol durante el periodo de crisis 2008-2009," Documentos de Trabajo dt2014-01, Facultad de Ciencias Económicas y Empresariales, Universidad de Zaragoza.
    • Handle: RePEc:zar:wpaper:dt2014-01
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    More about this item

    Keywords

    : Comportamiento imitador; datos intradiarios; series temporales; mercado burs�til;
    All these keywords.

    JEL classification:

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

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