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dc.contributor.authorCajueiro, Daniel Oliveira
dc.contributor.authorTabak, Benjamin Miranda
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.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
dc.description.provenanceMade available in DSpace on 2016-10-10T03:51:41Z (GMT). No. of bitstreams: 5 Multifractality and herding behavior in the Japanese stock market.pdf: 144867 bytes, checksum: d5160c65a4fdf9040313741d02604c64 (MD5) license_url: 52 bytes, checksum: 3d480ae6c91e310daba2020f8787d6f9 (MD5) license_text: 21716 bytes, checksum: 282d2b1a583fb55b557e8a3be8d5dd05 (MD5) license_rdf: 23930 bytes, checksum: 6b71892b27c4389434057b8b0e86b43e (MD5) license.txt: 1872 bytes, checksum: 9ede5d1aaff3f6277cd24454ee44422e (MD5) Previous issue date: 2009-04en
dc.rightsAcesso Abertopt_BR
dc.titleMultifractality and herding behavior in the Japanese stock marketpt_BR
dc.journalChaos, Solitons e Fractalspt_BR
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