A case study for intercontinental comparison of herd behavior in global stock markets
- Authors
- Lee, Woojoo; Choi, Yang Ho; Kim, Changki; Ahn, Jae Youn
- Issue Date
- 3월-2018
- Publisher
- KOREAN STATISTICAL SOC
- Keywords
- comonotonicity; herd behavior; global stock market
- Citation
- COMMUNICATIONS FOR STATISTICAL APPLICATIONS AND METHODS, v.25, no.2, pp.185 - 197
- Indexed
- SCOPUS
KCI
- Journal Title
- COMMUNICATIONS FOR STATISTICAL APPLICATIONS AND METHODS
- Volume
- 25
- Number
- 2
- Start Page
- 185
- End Page
- 197
- URI
- https://scholar.korea.ac.kr/handle/2021.sw.korea/76875
- DOI
- 10.29220/CSAM.2018.25.2.185
- ISSN
- 2287-7843
- Abstract
- Measuring market fear is an important way of understanding fundamental economic phenomena related to financial crises. There have been several approaches to measure market fear or panic level in a financial market. Recently, herd behavior has gained its popularity as important economic phenomena explaining the fear in the financial market. In this paper, we investigate herd behavior in global stock markets with a focus on intercontinental comparison. While various risk measures are available for the detection of herd behavior in the market, we use the standardized herd behavior index in Dhaene et al. (Insurance: Mathematics and Economics, 50, 357-370, 2012b) and Lee and Ahn (Dependence Modeling, 5, 316-329, 2017) for the comparison of herd behaviors in global stock markets. A global stock market data from Morgan Stanley Capital International is used to study herd behavior especially during periods of financial crises.
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- Appears in
Collections - Korea University Business School > Department of Business Administration > 1. Journal Articles
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