Παρακαλώ χρησιμοποιήστε αυτό το αναγνωριστικό για να παραπέμψετε ή να δημιουργήσετε σύνδεσμο προς αυτό το τεκμήριο:
https://hdl.handle.net/20.500.14279/12656
Τίτλος: | Liquidity and beta herding in emerging equity markets | Συγγραφείς: | Krokida, Styliani Iris A. Spyrou, Spyros I. Tsouknidis, Dimitris |
Major Field of Science: | Social Sciences | Field Category: | Economics and Business | Λέξεις-κλειδιά: | Beta herding;Emerging equity markets;Factor models;Financial crisis;Stock liquidity | Ημερομηνία Έκδοσης: | 2017 | Πηγή: | Handbook of investors' behavior during financial crises, 2017, Pages 319-333 | DOI: | https://doi.org/10.1016/B978-0-12-811252-6.00018-9 | Περίληψη: | 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. | URI: | https://hdl.handle.net/20.500.14279/12656 | ISBN: | 978-0-12-811252-6 | Rights: | © 2017 Elsevier Inc. | Type: | Book Chapter | Affiliation: | Cyprus University of Technology Athens University of Economics and Business |
Publication Type: | Peer Reviewed |
Εμφανίζεται στις συλλογές: | Κεφάλαια βιβλίων/Book chapters |
CORE Recommender
Page view(s) 10
497
Last Week
0
0
Last month
27
27
checked on 14 Μαρ 2025
Google ScholarTM
Check
Altmetric
Όλα τα τεκμήρια του δικτυακού τόπου προστατεύονται από πνευματικά δικαιώματα