Please use this identifier to cite or link to this item: https://repositorio.ucb.br:9443/jspui/handle/123456789/7496
Type: Artigo
Title: Multifractality and herding behavior in the Japanese stock market
Authors: Cajueiro, Daniel Oliveira
Tabak, Benjamin Miranda
Abstract: In this paper we present evidence of multifractality and herding behavior for a large set of Japanese stocks traded in the Tokyo Stock Exchange. We find evidence that herding behavior occurs in periods of extreme market movements. Therefore, based on the intuition behind the tests to detect herding phenomenon developed, for instance, in Christie and Huang [Christie W, Huang R. Following the pied pier: do individual returns herd around the market? Financ Analysts J 1995;51:31–7] and Chang et al. [Chang EC, Cheng JW, Khorana A. Examination of herd behavior in equity markets: an international perspective. J Bank Finance 2000;24:1651–99], we suggest that herding behavior may be one of the causes of multifractality.
Citation: CAJUEIRO, Daniel O. ; TABAK, Benjamin M. Multifractality and herding behavior in the Japanese stock market. Chaos, Solitons and Fractals, v. 40, p. 497-504, 2009.
Access Type: Acesso Aberto
URI: http://hdl.handle.net/123456789/238
https://repositorio.ucb.br:9443/jspui/handle/123456789/7496
Document date: Apr-2009
Appears in Collections:PPG - Revistas e Artigos Científicos

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