Multifractality and herding behavior in the Japanese stock market

• Autor(a) principal: Cajueiro, Daniel Oliveira
• Data de Publicação: 2009
• Outros Autores: Tabak, Benjamin Miranda
• Tipo de documento: Artigo
• Idioma: eng
• Título da fonte: Repositório Institucional da UCB
• Texto Completo: http://hdl.handle.net/123456789/238; https://repositorio.ucb.br:9443/jspui/handle/123456789/7496

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.