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Replication data for: Estimating a Structural Model of Herd Behavior in Financial Markets

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DOI
https://doi.org/10.3886/E112725
Version
V0
Resource Type
Dataset
Creator
  • Cipriani, Marco
  • Guarino, Antonio
Publication Date
2014-01-01
Description

  • Abstract

    We develop a new methodology to estimate herd behavior in financial markets. We build a model of informational herding that can be estimated with financial transaction data. In the model, rational herding arises because of information-event uncertainty. We estimate the model using data on a NYSE stock (Ashland Inc.) during 1995. Herding occurs often and is particularly pervasive on some days. On average, the proportion of herd buyers is 2 percent; that of herd sellers is 4 percent. Herding also causes important informational inefficiencies in the market, amounting, on average, to 4 percent of the asset's expected value.
Availability
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Relations
  • Is supplement to
    DOI: 10.1257/aer.104.1.224 (Text)
Publications
  • Cipriani, Marco, and Antonio Guarino. “Estimating a Structural Model of Herd Behavior in Financial Markets.” American Economic Review 104, no. 1 (January 2014): 224–51. https://doi.org/10.1257/aer.104.1.224.
    • ID: 10.1257/aer.104.1.224 (DOI)

Update Metadata: 2020-05-18 | Issue Number: 2 | Registration Date: 2019-10-12

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Cipriani, Marco; Guarino, Antonio (2014): Replication data for: Estimating a Structural Model of Herd Behavior in Financial Markets. Version: V0. ICPSR - Interuniversity Consortium for Political and Social Research. Dataset. https://doi.org/10.3886/E112725