Dynamic Herding Behaviour In the US Stock Market
نویسندگان
چکیده
This paper employs a dynamic herding approach that takes under different market regimes into account. We use daily data on US stock returns for the S&P 500 ranging from 2006 to 2017. The results of linear model yield no evidence herding. However, findings switching regression Bai and Perron (1998) demonstrate during crisis 500. alternative Markov also supports these findings.
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ژورنال
عنوان ژورنال: Prague Economic Papers
سال: 2021
ISSN: ['1210-0455', '2336-730X']
DOI: https://doi.org/10.18267/j.pep.760