Please use this identifier to cite or link to this item:
https://hdl.handle.net/20.500.14279/12656
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Krokida, Styliani Iris A. | - |
dc.contributor.author | Spyrou, Spyros I. | - |
dc.contributor.author | Tsouknidis, Dimitris | - |
dc.date.accessioned | 2018-08-10T11:42:22Z | - |
dc.date.available | 2018-08-10T11:42:22Z | - |
dc.date.issued | 2017 | - |
dc.identifier.citation | Handbook of investors' behavior during financial crises, 2017, Pages 319-333 | en_US |
dc.identifier.isbn | 978-0-12-811252-6 | - |
dc.identifier.uri | https://hdl.handle.net/20.500.14279/12656 | - |
dc.description.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. | en_US |
dc.format | en_US | |
dc.language.iso | en | en_US |
dc.rights | © 2017 Elsevier Inc. | en_US |
dc.subject | Beta herding | en_US |
dc.subject | Emerging equity markets | en_US |
dc.subject | Factor models | en_US |
dc.subject | Financial crisis | en_US |
dc.subject | Stock liquidity | en_US |
dc.title | Liquidity and beta herding in emerging equity markets | en_US |
dc.type | Book Chapter | en_US |
dc.doi | https://doi.org/10.1016/B978-0-12-811252-6.00018-9 | en_US |
dc.collaboration | Cyprus University of Technology | en_US |
dc.collaboration | Athens University of Economics and Business | en_US |
dc.subject.category | Economics and Business | en_US |
dc.country | Cyprus | en_US |
dc.country | Greece | en_US |
dc.subject.field | Social Sciences | en_US |
dc.publication | Peer Reviewed | en_US |
cut.common.academicyear | 2016-2017 | en_US |
item.fulltext | No Fulltext | - |
item.cerifentitytype | Publications | - |
item.grantfulltext | none | - |
item.openairecristype | http://purl.org/coar/resource_type/c_3248 | - |
item.openairetype | bookPart | - |
item.languageiso639-1 | en | - |
crisitem.author.dept | Department of Finance, Accounting and Management Science | - |
crisitem.author.faculty | Faculty of Management and Economics | - |
crisitem.author.orcid | 0000-0003-1866-2590 | - |
crisitem.author.parentorg | Faculty of Management and Economics | - |
Appears in Collections: | Κεφάλαια βιβλίων/Book chapters |
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