Bond market investor herding: Evidence from the European financial crisis

Abstract : During the recent financial crisis, numerous EU officials, market participants and the media suggested that irrational herdingwas a key factor for the financial turmoil and the soaring yield spreads. In this paperwe test for evidence of herd behavior in European government bond prices and, overall, we find no evidence of investor herding either before or after the EU crisis.We do find, however, in an original contribution to the bond market literature, strong evidence that during the EU crisis period, macroeconomic information announcements induced bond market investor herding; a finding that confirms the notion of ‘spurious’ herding proposed by Bikhchandani and Sharma (2001) for bond markets. Further tests reinforce this finding and also indicate the existence of herding spill-over effects.
Type de document :
Article dans une revue
International Review of Financial Analysis, Elsevier, 2016, 48, pp.367-375. 〈10.1016/j.irfa.2015.01.001〉
Liste complète des métadonnées

http://hal-audencia.archives-ouvertes.fr/hal-01333218
Contributeur : Sylvia Cheminel <>
Soumis le : vendredi 17 juin 2016 - 09:02:23
Dernière modification le : vendredi 24 novembre 2017 - 11:58:10

Identifiants

Collections

Citation

Emilios C. Galariotis, Styliani-Iris Krokida, Spyros I. Spyrou. Bond market investor herding: Evidence from the European financial crisis. International Review of Financial Analysis, Elsevier, 2016, 48, pp.367-375. 〈10.1016/j.irfa.2015.01.001〉. 〈hal-01333218〉

Partager

Métriques

Consultations de la notice

109