An Examination of Herd Behavior in Equity Markets: An International Perspective

By Eric C. Chang, Joseph W. Cheng, Ajay Khorana. 2000

1,277 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/760d6ba9bcdb2cef52122e18d6459b87e45f65d1

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Citations in the corpus

Cross-Sectional Return Dispersion and Time Variation in Value and Momentum Premiums (2010, background): “…standard deviation of the monthly disaggregate returns, as follows: RDt = √√√√ 1 n− 1 n∑ i=1 (Ri,t − Rμ,t)2,(1) 6See Bekaert and Harvey (1997), (2000) and Chang, Cheng, and Khorana (2000) for examples of other uses of RD in the literature. where n is the number of disaggregate portfolios (or…”
Differences in herding: Individual vs. institutional investors (2017, neutral): “Christie and Huang (1995), Chang et al. (2000), Gleason et al. (2004), and Hwang and Salmon (2004, 2009) capture the herding behavior towards market by applying the stock returns or stock betas based dispersion measures.”
Does herding affect volatility? Implications for the Spanish stock market (2012, methodology): “Hence, in recent years various measures have been proposed with a view to overcoming the limitations of past research (Lakonishok et al. 1992, Christie and Huang 1995, Wermers 1999, Chang et al. 2000, Hwang and Salmon 2004, PS 2006).”
Individual and institutional herding and the impact on stock returns: Evidence from Taiwan stock market (2013, background): “Beginning with Christie and Huang (1995) and Chang et al. (2000), a series of empirical studies examined the existence of herding by observing the cross-sectional standard deviation of returns (CSSD) and cross-sectional absolute deviation (CSAD).”
A cross-country analysis of herd behavior in Europe (2014, methodology): “analysis (e.g., Christie and Huang, 1995; Chang et al., 2000; Hwang and Salmon, 2004; and Wang, 2008) and, second, researchers using data analysis for portfolio”
Cross-country effects in herding behaviour: Evidence from four south European markets (2011, positive): “The pioneering studies of Christie and Huang (1995) and Chang et al. (2000) introduced, respectively, the statistical measures of cross-sectional standard deviation (CSSD) and cross-sectional absolute deviation (CSAD) of individual stock returns for the detection of herding effects.”
Does herding behavior exist in Chinese stock markets (2006, methodology): “In this paper, we examine the presence of herd formation in Chinese stock markets along the lines of Christie and Huang (1995), Chang et al. (2000) and Gleason et al. (2003, 2004).”