Do investors herd extreme periods in thin markets? Evidence from Banja Luka

Kallinterakis, Vasileios and Munir, Nomana and Radović-Marković, Mirjana (2009) Do investors herd extreme periods in thin markets? Evidence from Banja Luka. In: Financial system integration of Balkan countries in the European financial system : impact of global financial crisis. University of Nice - Sophia Antipolis (France) and Institute of Economic Sciences (Serbia), Nice, pp. 92-101. ISBN 978-2-7466-1290-7

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A large amount of studies has attempted to trace the presence of herding during extreme periods at the cross-sectional level by associating herding with the reduction in the cross-sectional dispersion of returns around the market average. In this paper we address the issue of whether the estimation of herding on the premises of such frameworks is robust to the thin trading bias whose presence is particularly prevalent in emerging markets. Our study is undertaken in the context of the Banja Luka stock exchange which is one of the world’s most recently established markets. Results indicate that herding is insignificant during extreme return periods with its insignificance persisting even after controlling for thin trading.

Item Type: Book Section
Additional Information: COBISS.SR-ID: 1024357520
Uncontrolled Keywords: Herding, Thin Trading, Extreme Markets, Banja Luka
Research Department: ?? H1 ??
Depositing User: Users 7 not found.
Date Deposited: 30 Jul 2015 08:14
Last Modified: 30 Jul 2015 08:14

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