Detecting herding on stock markets: CSSD and CSAD approaches (Excel)
Автор: NEDL
Загружено: 2020-12-06
Просмотров: 17219
Is herding prominent on stock markets? Do investors disregard fundamentals when markets are volatile and simply go with the trend? How can one determine whether herding impacts market dynamics using historical price data alone? Today, we are investigating two famous techniques from behavioural empirical finance - the cross-sectional standard deviation (CSSD) of Christey and Huang (1995) and the cross-sectional absolute deviation (CSAD) of Chang et al. (2000) - that can do just that and applying them to the US stock market.
Kudos to Will McCubbin for suggesting this topic!
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