A Dynamic Measure of Intentional Herd Behavior Causing Excess Volatility in U.S. Stock Markets (미국 주식시장의 초과변동성과 의도적 무리행동의 동태적 측정)

2021 ◽  
Author(s):  
Myung Joong Kim ◽  
Beum-Jo Park
Keyword(s):  
Stock Markets ◽  
Herd Behavior ◽  
Excess Volatility

Herd Behavior in Latin American Stock Markets

2012 ◽  
Vol 13 (2) ◽  
pp. 81-102 ◽  
Author(s):  
Rafael Porto de Almeida ◽  
Hudson Chaves Costa ◽  
Newton C. A. da Costa
Keyword(s):  
Latin American ◽  
Stock Markets ◽  
Herd Behavior

scholarly journals The Herd Behavior Index: A new measure for the implied degree of co-movement in stock markets

2012 ◽  
Vol 50 (3) ◽  
pp. 357-370 ◽  
Author(s):  
Jan Dhaene ◽  
Daniël Linders ◽  
Wim Schoutens ◽  
David Vyncke
Keyword(s):  
Stock Markets ◽  
Herd Behavior ◽  
Behavior Index

scholarly journals Option prices and model-free measurement of implied herd behavior in stock markets

2015 ◽  
Vol 02 (02) ◽  
pp. 1550012 ◽  
Author(s):  
Daniël Linders ◽  
Jan Dhaene ◽  
Wim Schoutens
Keyword(s):  
Stock Prices ◽  
Stock Markets ◽  
Random Variables ◽  
Herd Behavior ◽  
Option Prices ◽  
Market Sentiment ◽  
Model Free ◽  
Risk Neutral ◽  
Market Perception ◽  
Future Date

In this paper, we introduce two classes of indices which can be used to measure the market perception concerning the degree of dependency that exists between a set of random variables, representing different stock prices at a fixed future date. The construction of these measures is based on the theory of comonotonicity. Both types of herd behavior indices are model-free and risk-neutral, derived from available option data. Depending on its particular definition, each index represents a particular aspect of the market sentiment concerning future co-movement of the underlying stock prices.

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