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New sight of herding behavioural through trading volume

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  • Hachicha, Nizar

Abstract

In this study, we employ an innovative new methodology inspired from the approach of Hwang and Salmon (2004) and based on the cross sectional dispersion of trading volume to examine the herding behavior on Toronto stock exchange. Our findings show that the herd phenomenon consists of three essential components: stationary herding which signals the existence of the phenomenon whatever the market conditions, intentional herding 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 which is the feedback herding.

Suggested Citation

  • Hachicha, Nizar, 2010. "New sight of herding behavioural through trading volume," Economics Discussion Papers 2010-11, Kiel Institute for the World Economy (IfW).
  • Handle: RePEc:zbw:ifwedp:201011
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    File URL: http://www.economics-ejournal.org/economics/discussionpapers/2010-11
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    File URL: https://www.econstor.eu/bitstream/10419/30149/1/619888938.pdf
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    Cited by:

    1. Pop, Raluca Elena, 2012. "Herd behavior towards the market index: evidence from Romanian stock exchange," MPRA Paper 51595, University Library of Munich, Germany.

    More about this item

    Keywords

    Herding behavior; market return; trading volume;

    JEL classification:

    • D53 - Microeconomics - - General Equilibrium and Disequilibrium - - - Financial Markets
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General

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