I analyze herding in one of the largest bull runs in the history of
U.S. equity markets. Instead of providing a corrective stabilizing
force, banks, insurance firms, investment companies, investment
advisors, university endowments, hedge funds, and internally
managed pension funds participated in herds in the rise and to a
lesser extent in the fall of Internet stocks. Institutional
investors' buying exerted upward price pressure, and the reversal
of prices in the subsequent quarter provides evidence that the
herding was destabilizing and not based on information. I also
design and use two new methodologies to detect herding in NYSE
stocks during the bubble period. I find that NYSE functions
efficiently and shows no evidence of any meaningful herding in
general. The seemingly contradictory results can be reconciled
based on the different sample of stocks,and the different
methodologies which are designed to detect different types of
herding.
General
Imprint: |
VDM Verlag
|
Country of origin: |
Germany |
Release date: |
July 2009 |
First published: |
July 2009 |
Authors: |
Vivek Sharma
|
Dimensions: |
229 x 152 x 7mm (L x W x T) |
Format: |
Paperback - Trade
|
Pages: |
114 |
ISBN-13: |
978-3-639-18186-9 |
Categories: |
Books >
Business & Economics >
Economics >
General
|
LSN: |
3-639-18186-7 |
Barcode: |
9783639181869 |
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