View : 161 Download: 0

Financial interpretation of herd behavior index and its statistical estimation

Title
Financial interpretation of herd behavior index and its statistical estimation
Authors
LeeW.AhnJ.Y.
Ewha Authors
안재윤
SCOPUS Author ID
안재윤scopus
Issue Date
2015
Journal Title
Journal of the Korean Statistical Society
ISSN
1226-3192JCR Link
Citation
Journal of the Korean Statistical Society vol. 44, no. 2, pp. 295 - 311
Keywords
ComonotonicityCountermonotonicityHerd behavior
Publisher
Korean Statistical Society
Indexed
SCIE; SCOPUS; KCI WOS scopus
Document Type
Article
Abstract
Herd behavior received increasing attention as the key to understanding financial crises. Recently, Dhaene et al. (2012) proposed the herd behavior index (HIX) to measure the degree of the comonotonic movement of stock prices. Choi et al. (2013) introduced the revised version of HIX (RHIX) and illustrated why RHIX should be preferred to HIX in comparing herd behaviors based on simple toy models, but failed to offer any sufficient justification. The present paper investigates three aspects of RHIX. First, RHIX is explained as a useful tool to compare herd behaviors from different groups. For this, a new alternative representation of RHIX is provided. Second, we investigate the statistical estimation of RHIX. In particular, the realized version of RHIX is calculated using tick-by-tick stock prices and the asymptotics of bootstrap equivalence are provided to estimate the confidence interval of RHIX. Third, to extend application scope of RHIX, RHIX is employed in a clustering analysis. © 2014 The Korean Statistical Society.
DOI
10.1016/j.jkss.2014.09.005
Appears in Collections:
자연과학대학 > 통계학전공 > Journal papers
Files in This Item:
There are no files associated with this item.
Export
RIS (EndNote)
XLS (Excel)
XML


qrcode

Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.

BROWSE