Analysis of intraday herding behavior among the sector ETFs

A body of literature has emerged suggesting that investors herd, or tend to make investment decisions on the basis of information provided by the trades of other market participants. In this paper, we use intraday data to examine whether traders herd during periods of extreme market movements using...

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Veröffentlicht in:	Journal of empirical finance 2004-12, Vol.11 (5), p.681-694
Hauptverfasser:	Gleason, Kimberly C., Mathur, Ike, Peterson, Mark A.
Format:	Artikel
Sprache:	eng
Schlagworte:	Exchange traded funds Finance Herding Herding behavior Information Information cascades Volatility
Online-Zugang:	Volltext
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