Estimating a Structural Model of Herd Behavior in Financial Markets

• 成果类型: Article
• 署名作者: Cipriani, Marco; Guarino, Antonio
• 署名单位: Federal Reserve System - USA; Federal Reserve Bank - New York; University of London; University College London
• 刊物名称: AMERICAN ECONOMIC REVIEW
• ISSN/ISSBN: 0002-8282
• DOI: 10.1257/aer.104.1.224
• 发表日期: 2014
• 页码: 224-251
• 关键词: CONTRARIAN BEHAVIOR; INFORMATION; IMPACT; contagion; trades; price

摘要

We develop a new methodology to estimate herd behavior in financial markets. We build a model of informational herding that can be estimated with financial transaction data. In the model, rational herding arises because of information-event uncertainty. We estimate the model using data on a NYSE stock (Ashland Inc.) during 1995. Herding occurs often and is particularly pervasive on some days. On average, the proportion of herd buyers is 2 percent; that of herd sellers is 4 percent. Herding also causes important informational inefficiencies in the market, amounting, on average, to 4 percent of the asset's expected value.