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Junkai Wang and Robert Hudson |
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''Testing for herding using different return definitions: a comparison between simple and logarithmic returns'' |
( 2023, Vol. 43 No.2 ) |
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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. |
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Keywords: Herding, Returns, Logarithmic, Simple, CCK test, CSAD, Stock Markets. |
JEL: G1 - General Financial Markets G2 - Financial Institutions and Services: General |
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Manuscript Received : Oct 19 2022 | | Manuscript Accepted : Jun 30 2023 |
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