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A cross-country analysis of herd behavior in Europe

Mobarek, Asma, Mollah, Sabur and Keasey, Kevin 2014. A cross-country analysis of herd behavior in Europe. Journal of International Financial Markets, Institutions and Money 32 , pp. 107-127. 10.1016/j.intfin.2014.05.008

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Abstract

This paper examines country specific herding behavior in European liquid constituent indices for the period of 2001–2012. While we report insignificant results for the whole period, we document significant herding behavior during crises and asymmetric market conditions. Particularly, herding effect is pronounced in most continental countries during the global financial crisis and Nordic countries during the Eurozone crisis. However, PIIGS countries are the victims in both crises. Furthermore, we find evidence that the cross sectional dispersions of returns can be partly explained by the cross sectional dispersions of the other markets, with Germany having the greatest influence on the regional cross-country herding effect. Apprehensions heighten among the regulators, policy makers, and investors in the European markets for the herding behavior during volatile market conditions.

Item Type: Article
Date Type: Publication
Status: Published
Schools: Business (Including Economics)
Publisher: Elsevier
ISSN: 1042-4431
Date of First Compliant Deposit: 1 December 2016
Date of Acceptance: 30 May 2014
Last Modified: 10 Jul 2020 08:30
URI: http://orca.cf.ac.uk/id/eprint/96547

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