Paper Details
Title Herding Behavior and Trading Volume: Evidence from the American Indexes
AuthorsMOUNA JLASSI and AHMED BENSAIDA
Abstract

This paper examines the existence of behavioral bias labeled Herding in the U.S. market. We studied the turnover effect on herding movement by modifying the Cross Sectional Standard Deviation (CSSD) model and the Cross Sectional Absolute Standard Deviation (CSAD) model. The results indicate that herding is present and is a long-lived phenomenon in the American financial market. We find also that herding is stronger in the S&P 100 index than in the DJIA index. We also find that trading volume contributes in increasing asymmetric herding. By applying VAR and Granger causality test, we find causal link of herding ? trading volume. More particularly, we find that trading volume cannot generate herding behavior, except for liquid market. However, contemporaneous herding is a deterministic factor for increasing trading volume. Over the sample period, we examine the herd behavior during Subprime crisis. We find that herding is more intensified during subprime crisis, which contributes to accentuate and elongate it. Key Words: Trading volume; Herding; Cross Sectional Standard Deviation; Cross Sectional Absolute Standard Deviation.

Pages 705-722
Volume 3
Issue 2
Part 1
File Name Download (1540)
DOI/AUN

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