The relationship between herding behavior and firm size before and after the elimination of short-sale price restrictions

The relationship between herding behavior and firm size before and after the elimination of short-sale price restrictions

The present paper investigates the relationship between investor herding behavior and stock return under short-sale price restrictions. Detailed intra-day orders are applied to calculate herding measurements before and after a staged lifting of short-sale restrictions on May 16th, 2005 and September...

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Bibliographic Details
Main Authors: Chiao Yi Chang, Fu Shuen Shie, Shu Ling Yang
Format: Article
Language:English
Published: AIMS Press 2019-08-01
Series:Quantitative Finance and Economics
Subjects:
herding behavior
short-sale restrictions
uptick rule
structural change
quantile regression
Online Access:https://www.aimspress.com/article/10.3934/QFE.2019.3.526/fulltext.html

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https://www.aimspress.com/article/10.3934/QFE.2019.3.526/fulltext.html

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