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A case study for intercontinental comparison of herd behavior in global stock markets
- A case study for intercontinental comparison of herd behavior in global stock markets
- Lee W.; Choi Y.H.; Kim C.; Ahn J.Y.
- Ewha Authors
- SCOPUS Author ID
- Issue Date
- Journal Title
- Communications for Statistical Applications and Methods
- Communications for Statistical Applications and Methods vol. 25, no. 2, pp. 185 - 197
- Comonotonicity; Global stock market; Herd behavior
- Korean Statistical Society
- SCOPUS; KCI
- Document Type
- Measuring market fear is an important way of understanding fundamental economic phenomena related to financial crises. There have been several approaches to measure market fear or panic level in a financial market. Recently, herd behavior has gained its popularity as important economic phenomena explaining the fear in the financial market. In this paper, we investigate herd behavior in global stock markets with a focus on intercontinental comparison. While various risk measures are available for the detection of herd behavior in the market, we use the standardized herd behavior index in Dhaene et al. (Insurance: Mathematics and Economics, 50, 357-370, 2012b) and Lee and Ahn (Dependence Modeling, 5, 316-329, 2017) for the comparison of herd behaviors in global stock markets. A global stock market data from Morgan Stanley Capital International is used to study herd behavior especially during periods of financial crises. © 2018 The Korean Statistical Society, and Korean International Statistical Society.
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