Measuring herd behavior: properties and pitfalls

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 r...

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Main Authors:	Lee Woojoo, Ahn Jae Youn
Format:	Article
Language:	English
Published:	De Gruyter 2017-12-01
Series:	Dependence Modeling
Subjects:	herd behavior herd behavior index comonotonicity copula
Online Access:	https://doi.org/10.1515/demo-2017-0019

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spelling	doaj-a29e1c5fa4c141e9b20024a3ba65331b2021-10-02T18:54:44ZengDe GruyterDependence Modeling2300-22982017-12-015131632910.1515/demo-2017-0019demo-2017-0019Measuring herd behavior: properties and pitfallsLee Woojoo0Ahn Jae Youn1Department of Statistics, Inha University, 235 Yonghyun-Dong, Nam-Gu, Incheon 402-751, Korea Republic ofDepartment of Statistics, Ewha Womans University, 11-1 Daehyun-Dong, Seodaemun-Gu, Seoul 120-750, Korea Republic ofHerd 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.https://doi.org/10.1515/demo-2017-0019herd behaviorherd behavior indexcomonotonicitycopula
collection	DOAJ
language	English
format	Article
sources	DOAJ
author	Lee Woojoo Ahn Jae Youn
spellingShingle	Lee Woojoo Ahn Jae Youn Measuring herd behavior: properties and pitfalls Dependence Modeling herd behavior herd behavior index comonotonicity copula
author_facet	Lee Woojoo Ahn Jae Youn
author_sort	Lee Woojoo
title	Measuring herd behavior: properties and pitfalls
title_short	Measuring herd behavior: properties and pitfalls
title_full	Measuring herd behavior: properties and pitfalls
title_fullStr	Measuring herd behavior: properties and pitfalls
title_full_unstemmed	Measuring herd behavior: properties and pitfalls
title_sort	measuring herd behavior: properties and pitfalls
publisher	De Gruyter
series	Dependence Modeling
issn	2300-2298
publishDate	2017-12-01
description	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.
topic	herd behavior herd behavior index comonotonicity copula
url	https://doi.org/10.1515/demo-2017-0019
work_keys_str_mv	AT leewoojoo measuringherdbehaviorpropertiesandpitfalls AT ahnjaeyoun measuringherdbehaviorpropertiesandpitfalls
_version_	1716848587656134656

Measuring herd behavior: properties and pitfalls

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