Does herding affect volatility? Implications for the Spanish stock market

Blasco, Natividad (Universidad de Zaragoza) ; Corredor, Pilar ; Ferreruela, Sandra (Universidad de Zaragoza)

Resumen: 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.

Idioma: Inglés

DOI: 10.1080/14697688.2010.516766

Año: 2012

Publicado en: Quantitative Finance 12, 2 (2012), 311-327
ISSN: 1469-7688

Factor impacto JCR: 0.824 (2012)

Categ. JCR: ECONOMICS rank: 162 / 333 = 0.486 (2012) - Q2 - T2
Categ. JCR: MATHEMATICS, INTERDISCIPLINARY APPLICATIONS rank: 58 / 93 = 0.624 (2012) - Q3 - T2
Categ. JCR: BUSINESS, FINANCE rank: 49 / 88 = 0.557 (2012) - Q3 - T2
Categ. JCR: SOCIAL SCIENCES, MATHEMATICAL METHODS rank: 28 / 45 = 0.622 (2012) - Q3 - T2

Financiación: info:eu-repo/grantAgreement/ES/MEC/ECO2009-12819-C03-01
Financiación: info:eu-repo/grantAgreement/ES/MEC/ECO2009-12819-C03-02
Financiación: info:eu-repo/grantAgreement/ES/MEC/SEJ2006-14809-C03-01
Financiación: info:eu-repo/grantAgreement/ES/MEC/SEJ2006-14809-C03-03/ECON

Tipo y forma: Article (PostPrint)

Área (Departamento): Área Economía Finan. y Contab. (Dpto. Contabilidad y Finanzas)