129591 20240104102230.0 doi 10.1080/14697688.2010.516766 sideral 68236 ART-2012-68236 eng Blasco, Natividad Universidad de Zaragoza (orcid)0000-0001-5629-7526 Does herding affect volatility? Implications for the Spanish stock market 2012 According to rational expectation models, uninformed or liquidity trading make market price volatility rise. This paper sets out to analyse the impact of herding, which may be interpreted as one of the components of uninformed trading, on the volatility of the Spanish stock market. Herding is examined at the intraday level, considered the most reliable sampling frequency for detecting this type of investor behavior, and measured using the Patterson and Sharma (Working Paper, University of Michigan–Dearborn, 2006) herding intensity measure. Different volatility measures (historical, realized and implied) are employed. The results confirm that herding has a direct linear impact on volatility for all of the volatility measures considered, although the corresponding intensity is not always the same. In fact, herding variables seem to be useful in volatility forecasting and therefore in decision making when volatility is considered a key factor. Access copy available to the general public Unrestricted info:eu-repo/grantAgreement/ES/MEC/ECO2009-12819-C03-01 info:eu-repo/grantAgreement/ES/MEC/ECO2009-12819-C03-02 info:eu-repo/grantAgreement/ES/MEC/SEJ2006-14809-C03-01 info:eu-repo/grantAgreement/ES/MEC/SEJ2006-14809-C03-03/ECON info:eu-repo/semantics/openAccess by-nc-nd http://creativecommons.org/licenses/by-nc-nd/3.0/es/ 0.824 2012 ECONOMICS 162 / 333 = 0.486 2012 Q2 T2 MATHEMATICS, INTERDISCIPLINARY APPLICATIONS 58 / 93 = 0.624 2012 Q3 T2 BUSINESS, FINANCE 49 / 88 = 0.557 2012 Q3 T2 SOCIAL SCIENCES, MATHEMATICAL METHODS 28 / 45 = 0.622 2012 Q3 T2 info:eu-repo/semantics/article info:eu-repo/semantics/acceptedVersion Corredor, Pilar Ferreruela, Sandra Universidad de Zaragoza (orcid)0000-0001-8760-9350 4002 230 Universidad de Zaragoza Dpto. Contabilidad y Finanzas Área Economía Finan. y Contab. 12, 2 (2012), 311-327 Quant. financ. Quantitative Finance 1469-7688 240398 http://zaguan.unizar.es/record/129591/files/texto_completo.pdf Postprint 1192441 http://zaguan.unizar.es/record/129591/files/texto_completo.jpg?subformat=icon icon Postprint oai:zaguan.unizar.es:129591 articulos driver 2024-01-04-09:03:15 ARTICLE