Herding, Volatility, and Market Stress in the Spanish Stock Market
- 1 January 2017
- book chapter
- Published by Elsevier
- p. 151-168
Abstract
No abstract availableKeywords
This publication has 41 references indexed in Scilit:
- Does herding affect volatility? Implications for the Spanish stock marketQuantitative Finance, 2012
- Detecting intentional herding: what lies beneath intraday data in the Spanish stock marketJournal of the Operational Research Society, 2011
- Institutional investors and stock returns volatility: Empirical evidence from a natural experimentJournal of Financial Stability, 2009
- Testing Intentional Herding in Familiar Stocks: An Experiment in an International ContextJournal of Behavioral Finance, 2008
- Liquidity and Autocorrelations in Individual Stock ReturnsThe Journal of Finance, 2006
- Realized volatility and transactionsJournal of Banking & Finance, 2006
- Volatility and contagion: evidence from the Istanbul stock exchangeEconomic Systems, 2004
- The distribution of realized stock return volatilityJournal of Financial Economics, 2001
- Trade size, order imbalance, and the volatility–volume relationJournal of Financial Economics, 2000
- A Theory of Fads, Fashion, Custom, and Cultural Change as Informational CascadesJournal of Political Economy, 1992