All Rights Reserved
AccessEcon LLC 2006, 2008.
Powered by MinhViet JSC

 
Junkai Wang and Robert Hudson
 
''Testing for herding using different return definitions: a comparison between simple and logarithmic returns''
( 2023, Vol. 43 No.2 )
 
 
We outline theoretically why different return measures (simple or logarithmic) may affect tests for herding. Comprehensive empirical tests using data from many major world financial markets confirm that different returns measures do frequently lead to different conclusions about the presence of herding.
 
 
Keywords: Herding, Returns, Logarithmic, Simple, CCK test, CSAD, Stock Markets.
JEL: G1 - General Financial Markets
G2 - Financial Institutions and Services: General
 
Manuscript Received : Oct 19 2022 Manuscript Accepted : Jun 30 2023

  This abstract has been downloaded 178 times                The Full PDF of this paper has been downloaded 170840 times