An Alternative Test of Herding: A Threshold Regression Approach

10.6291/AIAPM.2014.06.10

Saumitra Bhaduri

Herding ； Threshold Regression ； India ； Stock Market

Advances in Investment Analysis and Portfolio Management

6期（2014 / 04 / 01）

263 - 273

英文

The paper applies a threshold regression model developed by Hansen (2000) to standard herding model in order to capture a non-linear effect of extreme market movement on the trading behaviour of the participants. Using the model with threshold effect, the paper finds little evidence for market-wide herding for the Indian equity market.

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