Measuring herd behavior: properties and pitfalls-Reference-Cited by-同舟云学术

Measuring herd behavior: properties and pitfalls

Published:2017-12-20 Issue:1 Volume:5 Page:316-329
ISSN:2300-2298
Container-title:Dependence Modeling
language:
Short-container-title:

Author:

Lee Woojoo¹,Ahn Jae Youn²

Affiliation:

1. 1Department of Statistics, Inha University, 235 Yonghyun-Dong, Nam-Gu, Incheon 402-751, Korea Republic of

2. 2Department of Statistics, Ewha Womans University, 11-1 Daehyun-Dong, Seodaemun-Gu, Seoul 120-750, Korea Republic of

Abstract

AbstractHerd 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.

Publisher

Walter de Gruyter GmbH

Subject

Applied Mathematics,Modelling and Simulation,Statistics and Probability

Link

https://www.degruyter.com/document/doi/10.1515/demo-2017-0019/pdf

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