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A case study for intercontinental comparison of herd behavior in global stock markets

Title
A case study for intercontinental comparison of herd behavior in global stock markets
Authors
Lee W.Choi Y.H.Kim C.Ahn J.Y.
Ewha Authors
안재윤
SCOPUS Author ID
안재윤scopus
Issue Date
2018
Journal Title
Communications for Statistical Applications and Methods
ISSN
2287-7843JCR Link
Citation
Communications for Statistical Applications and Methods vol. 25, no. 2, pp. 185 - 197
Keywords
ComonotonicityGlobal stock marketHerd behavior
Publisher
Korean Statistical Society
Indexed
SCOPUS; KCI scopus
Document Type
Article
Abstract
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.
DOI
10.29220/CSAM.2018.25.2.185
Appears in Collections:
자연과학대학 > 통계학전공 > Journal papers
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