Measuring herd behavior: properties and pitfalls

Woojoo Lee; Jae Youn Ahn

Dependence Modeling (2017)

  • Volume: 5, Issue: 1, page 316-329
  • ISSN: 2300-2298

Abstract

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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.

How to cite

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Woojoo Lee, and Jae Youn Ahn. "Measuring herd behavior: properties and pitfalls." Dependence Modeling 5.1 (2017): 316-329. <http://eudml.org/doc/288349>.

@article{WoojooLee2017,
abstract = {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.},
author = {Woojoo Lee, Jae Youn Ahn},
journal = {Dependence Modeling},
keywords = {herd behavior; herd behavior index; comonotonicity; copula},
language = {eng},
number = {1},
pages = {316-329},
title = {Measuring herd behavior: properties and pitfalls},
url = {http://eudml.org/doc/288349},
volume = {5},
year = {2017},
}

TY - JOUR
AU - Woojoo Lee
AU - Jae Youn Ahn
TI - Measuring herd behavior: properties and pitfalls
JO - Dependence Modeling
PY - 2017
VL - 5
IS - 1
SP - 316
EP - 329
AB - 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.
LA - eng
KW - herd behavior; herd behavior index; comonotonicity; copula
UR - http://eudml.org/doc/288349
ER -

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