Herding behaviour and volatility in the Athens Stock Exchange

Messis, Petros; Zapranis, Achilleas

doi:10.1108/jrf-04-2014-0054

Cited by 39 publications

(26 citation statements)

References 62 publications

(81 reference statements)

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“…For example, herding behavior was found in the UK (Chiang & Zheng, 2010), China (Chiang & Zheng, 2010;Lao & Singh, 2011;Tan et al, 2008), Hong Kong (Chiang & Zheng, 2010;Lam & Qiao, 2015), Germany, France (Chiang & Zheng, 2010), Italy and Greece (Economou et al, 2011;Messis & Zapranis, 2014). In contrast, this type of behavior was not found by some other researchers studying exactly the same markets, i.e., the UK (Galariotis et al, 2015), China (Demirer & Kutan, 2006), Hong Kong (Chang et al, 2000), Germany, France, Italy, and Greece (Mobarek et al, 2014).…”

Section: Introductionmentioning

confidence: 64%

“…The researchers assert that herding behavior by market participants exacerbates market volatility and makes market instable. The empirical findings show that the existence of herding can exacerbate return volatility (Blasco et al, 2012;Demirer & Kutan, 2006;Di Guilmi et al, 2014), however, there are also studies proving that herding behavior has positive effect on return volatility (Messis & Zapranis, 2014;Venezia et al, 2011).…”

Section: Introductionmentioning

confidence: 99%

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Applying an international CAPM to herding behaviour model for integrated stock markets

Najmudin

Syarif

Wahyudi

et al. 2017

Journal of International Studies

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Abstract. Development of financial globalization in the form of stock market integration experiences a trend which is getting stronger. The analysis models in the field of finance and investments should be able to adjust to these developments. This adjustment includes the models used to detect the existence of herding behavior. All this time, the herding behavior model of individual stocks towards market consensus has been referring to CAPM theory. The basic assumption of CAPM is that financial assets at a domestic stock market are segmented from the financial assets' movement at the global market. Therefore, this paper aims to provide an alternative view in the form of an international herding model that should be applied in the context of an integrated stock market. The model was created with reference to the international CAPM. This paper combined ICAPM method and international CSAD model to identify herding for eight stock markets, the sample period being from January 2003 to December 2016. The result found that for segmented stock markets, represented by China Vol.10, No.4, 2017 48 and the Philippines, herding happened for both overall the sample period and the market crisis period. In addition, for the integrated stock markets, represented by Indonesia, Japan, Malaysia, Singapore, Thailand, and the UK, herding behavior was only found during the market crisis period. Therefore, classification of market integrations should be considered in assessing the herding behaviour at stock markets.

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Section: Introductionmentioning

confidence: 64%

Section: Introductionmentioning

confidence: 99%

Applying an international CAPM to herding behaviour model for integrated stock markets

Najmudin

Syarif

Wahyudi

et al. 2017

Journal of International Studies

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“…Similarly Phillipas et al, (2013) found herding behaviour in the US Equity Real Investment Trust (REIT) market. Herding behaviour was also observed by Economou et al, (2011) in Greece, Spain and Italy, Messis and Zapranis (2014) in Athens stock market, Caparrelli et al, (2004) in Italy and Indārs et al,(2018) in Moscow, Russia. Similarly, herding behaviours were observed in other markets such as cryptocurrency by Bouri et al, (2018), in Islamic Gulf Cooperation and Council (GCC) by Chaffai and Medhioub (2018) and in lotterytype stock of Chinese market by Gong and Dai (2018).…”

Section: Introductionmentioning

confidence: 63%

“…Dutta et al,(2016) also examined 50 companies in India national stock market for the period 2006 to 2016 compare to Ganesh et al,(2016) were able to observed herding behaviours leading to research conclusion of Indian markets to be rather semi strong efficient rather than being strong. Messis and Zapranis, (2014) during the period between 1995 to 2010 examine herding behaviours in the Athens stock market. Herding behaviours were observed during this period.…”

Section: Literature Reviewmentioning

confidence: 99%

Herding Behaviours in Poland and Tanzania

Mwamtambulo¹

2019

Proceedings of the 45th International Academic Conference, London

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Over the years the USA markets have shown a strong resilient to herding behaviours while mixed results or consistent herding behaviours have been observed in other markets around the world. This study aimed at providing the most recent evidence of herding behaviours in two of such markets. Using data from Poland and Tanzania and CSAD approach, the findings showed no significant market herding behaviours in Poland during the period and during the up and down markets. Except for Informatics, all other industries showed significant industry herding behaviours and during the up and down markets. On the other hand, no market herding behaviours were observed in Tanzania during the period, during the up and down markets. No industrial herding behaviours were observed in the two industries. During this period Poland had experienced an increase in industry herding behaviours while Tanzania have experienced a decline in market herding behaviours in the market.

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“…Mulai dari Benua Asia, perilaku herding terjadi di Vietnam (Vo & Phan, 2016, Pakistan (Shah, Shah, & Khan, 2017), India (Bhaduri & Mahapatra, 2013;Ganesh, Gopal, & Thiyagarajan, 2018), Cina (T. C. Chiang, Li, & Tan, 2010;Gong & Dai, 2017;Lan, 2014;Lao & Singh, 2011;Li, Liu, & Park, 2017;Yao, Ma, & He, 2014;Zheng, Li, & Chiang, 2017), Jepang (Cajueiro & Tabak, 2009;Zheng et al, 2017) Kallinterakis, & Komba, 2017). Lalu, Di Benua Eropa perilaku herding juga terjadi di Perancis (Khan, Hassairi, & VIVIANI, 2011;Litimi, 2017), Jerman (Khan et al, 2011), Italia (Khan et al, 2011), Inggris (Khan et al, 2011), Finlandia (Lindhe, 2012), Romania (Pop, 2013), Portugal (Leite, Machado-Santos, & Silva, 2018), Yunani (Messis & Zapranis, 2014), dan Rusia (Indārs, Savin, & Lublóy, 2019). Terakhir, perilaku herding juga terjadi di Benua Australia (Al-Shboul, 2012).…”

Section: Hasil Dan Pembahasanmentioning

confidence: 99%

Perilaku Herding Di Pasar Saham: Sebuah Kajian Literatur

Ningtyas

2020

JBME

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Abstrack : This article aims to prove the existence of herding behavior in a number of stock markets in various parts of the world and find out the factors that cause herding behavior. The method used in this article is a research library by taking data from 80 international journals and 4 local journals. The results of our analysis conclude that herding behavior occurs in almost all stock markets in the world. Factors that cause herding behavior include negative news sentiments towards stocks, incentives and career concerns owned by analysts, market risk and firm level uncertainty, market uncertainty, extreme market conditions, periods of high information flow, risk of volatility, analysis of more types of stocks small, economic / financial crisis, declining market conditions, rising interest rates, currency depreciation, poor information environment, and low quality disclosures. The limitation of this article is that the amount of data taken from the results of research in several stock markets is uneven, such as the lack of data retrieval from the stock market on the American continent Abstrak : Artikel ini bertujuan untuk membuktikan keberadaan perilaku herding di sejumlah pasar saham di berbagai belahan dunia dan mengetahui faktor-faktor penyebab perilaku herding. Metode yang digunakan dalam artikel ini adalah perpustakaan penelitian dengan mengambil data dari 80 jurnal internasional dan 4 jurnal lokal. Hasil analisis kami menyimpulkan bahwa perilaku herding terjadi di hampir semua pasar saham di dunia. Faktor-faktor yang menyebabkan perilaku herding meliputi sentimen berita negatif terhadap saham, insentif dan kekhawatiran karier yang dimiliki oleh analis, risiko pasar dan ketidakpastian tingkat perusahaan, ketidakpastian pasar, kondisi pasar ekstrem, periode arus informasi tinggi, risiko volatilitas, analisis jenis saham yang lebih kecil, terjadinya krisis ekonomi/keuangan, kondisi pasar yang menurun, kenaikan suku bunga, depresiasi mata uang, lingkungan informasi yang buruk, dan pengungkapan berkualitas rendah. Keterbatasan artikel ini adalah jumlah data yang diambil dari hasil penelitian di beberapa pasar saham tidak merata, seperti kurangnya pengambilan data dari pasar saham di benua Amerika.

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Herding behaviour and volatility in the Athens Stock Exchange

Cited by 39 publications

References 62 publications

Applying an international CAPM to herding behaviour model for integrated stock markets

Applying an international CAPM to herding behaviour model for integrated stock markets

Herding Behaviours in Poland and Tanzania

Perilaku Herding Di Pasar Saham: Sebuah Kajian Literatur

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