Measuring herd behavior: Properties and pitfalls

Woojoo Lee; Jae Youn Ahn

doi:10.1515/demo-2017-0019

Measuring herd behavior: Properties and pitfalls

Woojoo Lee, Jae Youn Ahn

Department of Statistics

Research output: Contribution to journal › Article › peer-review

1 Scopus citations

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 reffiect 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.

Original language	English
Pages (from-to)	316-329
Number of pages	14
Journal	Dependence Modeling
Volume	5
Issue number	1
DOIs	https://doi.org/10.1515/demo-2017-0019
State	Published - 2017

Keywords

Comonotonicity
Copula
Herd behavior
Herd behavior index

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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 reffiect 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.",

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Measuring herd behavior: Properties and pitfalls

Abstract

Keywords

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