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Asian Review of Financial Research, Vol., No..
pp.497~520
pp.497~520
Investor herding behavior in NYSE and NASDAQ : A new approach based on a network structure of stock prices
Hee Soo Lee Department of Business Administration, Sejong University
Tae Yoon Kim Department of Statistics, Keimyung University
We propose using the U-statistic as a new measure of market integration and construct the null hypothesis to test herding. We derive asymptotic distribution of the U-statistics under four different market conditions and examine herding in NYSE and NASDAQ. Not based on a specific theoretical asset pricing model, we define the herding as a severe dynamic comovement of stocks which is a function of mean market return. Our empirical results show that there exists more frequent herding in NYSE than in NASDAQ while NASDAQ is more integrated than NYSE during tranquil period, whereas different results are observed during crisis periods.
Hee Soo Lee
Tae Yoon Kim
We propose using the U-statistic as a new measure of market integration and construct the null hypothesis to test herding. We derive asymptotic distribution of the U-statistics under four different market conditions and examine herding in NYSE and NASDAQ. Not based on a specific theoretical asset pricing model, we define the herding as a severe dynamic comovement of stocks which is a function of mean market return. Our empirical results show that there exists more frequent herding in NYSE than in NASDAQ while NASDAQ is more integrated than NYSE during tranquil period, whereas different results are observed during crisis periods.
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