tailieunhanh - Correlated Trades and Herd Behavior in the Stock Market

Both versions of synthesis allow inclusion and estimation of spawner-recruitment functions. When detailed age composition data are lacking, the estimated spawner-recruitment curve can be used to generate the entire time series of recruitments, thus turning synthesis into a simple production model. At the other extreme, inclusion of the spawner-recruitment curve in data-rich models allows estimation of this curve while taking into account all available information. Although most population modeling is done within unit stocks, age synthesis provides the capability to model up to three geographic areas and to estimate the degree of migration between areas. Size synthesis adds a body size dimension to the. | SFB 649 Discussion Paper 2012-035 Correlated Trades and Herd Behavior in the Stock Market Simon Jurkatis Stephanie Kremer Dieter Nautz Humboldt-Universitat zu Berlin Germany Freie Universitat Berlin Germany This research was supported by the Deutsche Forschungsgemeinschaft through the SFB 649 Economic Risk . http ISSN 1860-5664 SFB 649 Humboldt-Universitat zu Berlin Spandauer StraBe 1 D-10178 Berlin SFB 6 4 9 E C O N O M I C R I S K B E R L I N Correlated Trades and Herd Behavior in the Stock Market Simon Jurkatis Humboldt Universitat zu Berlin Stephanie Kremer Freie Universitat Berlin Dieter Nautz Freie Universitat Berlin May 16 2012 Abstract Herd behavior is often viewed as a significant threat for the stability and efficiency of financial markets. This paper sheds new light on the relevance of herd behavior for observed correlation of trades. We introduce numerical simulations of a herd model to derive theory-guided predictions regarding the impact of various aspects of uncertainty on herding intensity. We test the predictions using a novel data set including all real-time transactions of institutional investors in the German stock market. In light of the model simulations empirical results strongly suggest that the observed correlation of trades is mainly due to the common reaction of investors to new public information and should not be misinterpreted as herd behavior. Keywords Herd Behavior Institutional Trading Correlated Trading Model Simulation JEL classification G11 G24 C23 Corresponding author Department of Economics BoltzmannstraBe 20 D-14195 Berlin Germany. E-Mail . Financial support from the Deutsche Forschungsgemein-schaft DFG via CRC 649 Economic Risk is gratefully acknowledged. Simon Jurkatis thanks the Einstein Foundation Berlin for financial support via the Berlin Doctoral Program in Economics and Management Science BDPMS . 1 Introduction Correlated trading of institutional investors is a widely .

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