Discussion Paper

No. 2010-11 | February 23, 2010
New Sight of Herding Behavioural through Trading Volume

Abstract

In this study, we employ an innovative new methodology inspired from the approach of Hwang and Salmon (2004) and based on the cross sectional dispersion of trading volume to examine the herding behavior on Toronto stock exchange. Our findings show that the herd phenomenon consists of three essential components: stationary herding which signals the existence of the phenomenon whatever the market conditions, intentional herding relative to the anticipations of the investors concerning the totality of assets, and the third component highlights that the current herding depends on the previous one which is the feedback herding.

JEL Classification

C13 D53 G12

Cite As

Nizar Hachicha (2010). New Sight of Herding Behavioural through Trading Volume. Economics Discussion Papers, No 2010-11, Kiel Institute for the World Economy. http://www.economics-ejournal.org/economics/discussionpapers/2010-11

Assessment



Comments and Questions


Anonymous - Referee Report 1
April 27, 2010 - 14:41

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Anonymous - Referee Report 2
May 03, 2010 - 15:22

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Anonymous - Reply Referee Report 2
May 17, 2010 - 09:59

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nizar hachicha - new version :New sight of herding behavioural through trading volume
May 17, 2010 - 09:08

Following the reviewing revcomments I present a new version of the paper : New sight of herding behavioural through trading volume