- Autor
- Papla Daniel
- Tytuł
- Statystyczne nadanie zachowań stadnych na rynkach kapitałowych
Statistical Analysis of Herd Behavior on Capital Markets - Źródło
- Prace Naukowe Akademii Ekonomicznej we Wrocławiu. Ekonometria (7), 2001, nr 895, s. 178-187, tab., bibliogr. 12 poz.
- Tytuł własny numeru
- Zastosowania metod ilościowych
- Słowa kluczowe
- Badania naukowe, Teoria zachowań, Rynek kapitałowy, Zachowania stadne
Scientific research, Behaviour theory, Capital market, Herding behaviour - Uwagi
- summ.
- Abstrakt
- Wyjaśniono pojęcia zachowania stadnego oraz przedstawiono modele zachowań stadnych. Omówiono wyniki badań opartych na metodologii W. Christiego i R. Huanga oraz E. Changa, J. Chenga i A. Khoramy.
This paper presents statistical analysis one of the phenomenon, which makes capital markets less efficient - so called herd behavior of investors. We applied two methods to test desire of investors to follow each other. First is analysis of behavior of returns cross-sectional standard deviation (CSSD) (Christie, Huang, 1995). Second method bases on examination of cross-sectional absolute deviation (CSAD) (Chang, Cheng, Khorama, 1999). Paper consists of three parts. First part presents both methods of testing investors behaviors with preliminary analysis of potential advantages and disadvantages of these methods. Second contains results of empirical research, in which we used data taken from Warsaw Stock Exchange. Analysis of these results and conclusions were presented in third part. (original abstract) - Dostępne w
- Biblioteka Główna Uniwersytetu Ekonomicznego w Krakowie
Biblioteka SGH im. Profesora Andrzeja Grodka
Biblioteka Główna Uniwersytetu Ekonomicznego w Katowicach
Biblioteka Główna Uniwersytetu Ekonomicznego w Poznaniu
Biblioteka Główna Uniwersytetu Ekonomicznego we Wrocławiu - Bibliografia
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- Bikhchandani S., Hirschleifer D., Welch I.: A Theory of Fads, Fashion, Custom, and Cultural Change as Informational Cascades. "Journal of Political Economy" 100, 1992, s. 992-1026.
- Chang E.C., Cheng J.W., Khorama A.: An Examination of Herd Behavior in Equity Markets: An International Perspective. "Working Paper", University of Hong Kong 1999.
- Christie W. G., Huang R. D.: Following the Pied Piper: Do Individual Returns Herd around the Market? "Financial Analysts Journal", lipiec-sierpen 1995, s. 31-37.
- Froot K.A., Scharfstein D.S., Stein J.C.: Herd on the Street: Informational Inefficiences in a Market with Short Term Speculations. "Journal of Finance" 47,1992, s. 1461-1484.
- Grinblatt M., Titman S., Wermers R.: Momentum Investments Strategies, Portfolio Performance, and Herding: A Study of Mutual Fund Behavior. "American Economic Review" 85, 1995, s. 1088-1105.
- Lakonishok J., Shleifer A., Vishny R.W.: The Impact of Institutional Trading on Stock Prices. "Journal of Financial Economics" 32, 1992, s. 23-44.
- Lux T.: Herd Behavior, Bubbles and Crashes. "Economic Journal" 105, 1995, s. 881-896.
- Olsen R.A.: Implications of Herding Behavior for Earnings Estimation, Risk Assessment, and Stock Return. "Financial. Analysts Journal", lipiec-sierpień 1996, s. 37-41.
- Scharfstein D. S., Stein J. C.: Herd Behavior and investments. "American Economic Review" 80, 1990, s. 465-479.
- Schiller R.J., Pound J.: Survey Evidence of Diffusing of Interest Among Institutional Investors. "Journal of Economic Behavior and Organization" 12, 1989, s. 47-66.
- Trueman B.: Analysts Forecasts and Herding Behavior. "Review of Financial Studies" 7, 1994, s. 97-124.
- Welch I.: Sequential Sales, Learning, and Cascades. "Journal of Finance" 47, 1992, s. 695-732.
- Cytowane przez
- ISSN
- 0324-8445
1507-3866 - Język
- pol
