ETD

Archivio digitale delle tesi discusse presso l'Università di Pisa

Tesi etd-04062014-113957


Tipo di tesi
Tesi di laurea magistrale
Autore
SANTI, CATERINA
URN
etd-04062014-113957
Titolo
Herd Behavior: An Estimate for the Italian Stock Exchange
Dipartimento
ECONOMIA E MANAGEMENT
Corso di studi
BANCA, FINANZA AZIENDALE E MERCATI FINANZIARI
Relatori
relatore Prof. Fiaschi, Davide
Parole chiave
  • Herding
  • Cross-sectional volatility
  • Kalman Filter
  • Behavioral Finance
Data inizio appello
30/04/2014
Consultabilità
Completa
Riassunto
Herd behavior is widely believed to play a crucial role in financial markets and particularly when the market is in stress. This work analyses the phenomenon of herd behavior from both a theoretical and an empirical point of view. We apply the approach by Hwang and Salmon (2004), based on the cross-sectional standard deviations of the betas, to analyse herd behavior in the Italian Stock Exchange in the period January 1998 - December 2012. We find that herd behavior towards the market portfolio is significant and persistent, independently from and given the particular state of the market, and it shows a positive correlation with the FTSE MIB. Another remarkable result, given that herd behavior can lead to significant mispricing, is that herd behavior is never greater than the 40% of its maximum potential value during the sample period. Further, we examine herd behavior towards SMB and HML factors and find evidence of significant periods of herd behavior towards SMB and HML.
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