An empirical investigation of herding in the U.S. stock market
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DOI: 10.1016/j.econmod.2016.12.015
Abstract: This paper proposes a new empirical testing method for detecting herding in stock markets. The traditional regression approach is extended to a vector autoregressive framework, in which the predictive power of squared index returns for… read more here.
Keywords: investigation herding; stock market; empirical investigation; herding stock ... See more keywords