Please use this identifier to cite or link to this item: https://repositorio.ucb.br:9443/jspui/handle/123456789/7496
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dc.contributor.authorCajueiro, Daniel Oliveira
dc.contributor.authorTabak, Benjamin Miranda
dc.date.accessioned2016-10-10T03:51:41Z-
dc.date.available2016-10-10T03:51:41Z-
dc.date.issued2009-04
dc.identifier.citationCAJUEIRO, Daniel O. ; TABAK, Benjamin M. Multifractality and herding behavior in the Japanese stock market. Chaos, Solitons and Fractals, v. 40, p. 497-504, 2009.pt_BR
dc.identifier.issn0960-0779
dc.identifier.urihttp://hdl.handle.net/123456789/238
dc.identifier.urihttps://repositorio.ucb.br:9443/jspui/handle/123456789/7496-
dc.description.abstractIn 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.pt_BR
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dc.language.isoenpt_BR
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dc.titleMultifractality and herding behavior in the Japanese stock marketpt_BR
dc.typeArtigopt_BR
dc.description.versionSimpt_BR
dc.description.statusPublicadopt_BR
dc.journalChaos, Solitons e Fractalspt_BR
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