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dc.contributor.authorBEKIROS, Stelios D.
dc.contributor.authorJLASSI, Mouna
dc.contributor.authorLUCEY, Brian
dc.contributor.authorNAOUI, Kamel
dc.contributor.authorUDDIN, Gazi Salah
dc.date.accessioned2018-01-09T09:22:19Z
dc.date.available2018-01-09T09:22:19Z
dc.date.issued2017
dc.identifier.citationThe North American journal of economics and finance, 2017, Vol. 42, pp. 107-131en
dc.identifier.issn1062-9408
dc.identifier.urihttps://hdl.handle.net/1814/49824
dc.descriptionPublished online: 22 July 2017en
dc.description.abstractThis paper aims to investigate herding behavior and its impact on volatility under uncertainty. We apply a cross-sectional absolute deviation approach as well as Quantile Regression methods to capture the herding behavior in daily and monthly frequencies in US markets over several time-periods including the global financial crisis. In a novel attempt we modify the empirical CSAD herding modeling by introducing implied volatility as a measure of agent risk expectations. Our findings indicate that herding tends to be intense under extreme market conditions, as depicted in the upper high quantile range of the conditional distribution of returns. During crisis periods herding is observed at the beginning of the crisis and becomes insignificant towards the end. The US market herding behavior exhibits time-varying dynamic trading patterns that can be attributed e.g., to overconfidence or excessive “flight to quality” features, mostly observed in the aftermath of the global financial crisis. Moreover, implied volatility reveals asymmetric patterns and plays a key role in enforcing irrational behavior.en
dc.language.isoenen
dc.publisherElsevieren
dc.relation.ispartofThe North American journal of economics and financeen
dc.subjectHerdingen
dc.subjectQuantile regressionen
dc.subjectImplied volatilityen
dc.subjectG1en
dc.subjectG14en
dc.subjectG15en
dc.titleHerding behavior, market sentiment and volatility : will the bubble resume?en
dc.typeArticleen
dc.identifier.doi10.1016/j.najef.2017.07.005
dc.identifier.volume42en
dc.identifier.startpage107en
dc.identifier.endpage131en
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