Measuring herd behavior: properties and pitfalls

• Autorzy: Woojoo Lee , Jae Youn Ahn
• Języki publikacji: EN

Abstrakty

EN

Herd behavior is an important economic phenomenon, especially in the context of the recent financial crises. Prior studies propose several measures to quantify herd behavior. In this paper, we show that these measures reflect different perspectives on this behavior, and hence, their interpretation requires great care. Taking a critical attitude toward existing herd behavior measures, we study their properties and pitfalls in detail.

Słowa kluczowe

EN

herd behavior; herd behavior index; comonotonicity; copula

• Wydawca: De Gruyter Open
• Czasopismo: Dependence Modeling
• Rocznik: 2017
• Tom: 5
• Numer: 1
• Strony: 316-329

Daty

wydano

2017-12-20

otrzymano

2016-12-23

zaakceptowano

2017-11-23

online

2017-12-29

Twórcy

autor

Woojoo Lee

• 402-751,

autor

Jae Youn Ahn

• 120-750,

Identyfikatory

DOI

10.1515/demo-2017-0019