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Title: Liquidity and beta herding in emerging equity markets
Authors: Krokida, Styliani Iris A. 
Spyrou, Spyros I. 
Tsouknidis, Dimitris 
Keywords: Beta herding;Emerging equity markets;Factor models;Financial crisis;Stock liquidity
Category: Economics and Business
Field: Social Sciences
Issue Date: 2017
Publisher: Elsevier Inc.
Source: Handbook of investors' behavior during financial crises, 2017, Pages 319-333
Abstract: We address a gap in the literature and examine the relationship between liquidity and market-based herd behavior in the seven biggest, in terms of capitalization, emerging equity markets. We first estimate the four-factor asset pricing model of Carhart (1997) and subsequently employ these factors in order to adjust betas and compute the standardized beta herding measure of Hwang and Salmon (2009). In order to proxy for stock liquidity, we employ the Amihud (2002) illiquidity ratio. A series of tests based on VAR modeling, Variance Decomposition tests, and Granger causality tests, seem to indicate that the relationship is much weaker than that suggested by recent evidence for mature markets. We argue that this is due to adjusting the beta herding measure for systematically priced risked factors.
ISBN: 978-0-12-811252-6
Rights: © 2017 Elsevier Inc.
Type: Book Chapter
Appears in Collections:Κεφάλαια βιβλίων/Book chapters

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