Stochastic herding in financial markets evidence from institutional investor equity portfolios:
We estimate a structural model of herding behavior in which feedback arises due to mutual concerns of traders over the unobservable "true" level of market liquidity. In a herding regime, random shocks are exacerbated by endogenous feedback, producing a dampened power-law in the fluctuation...
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| Hauptverfasser: | , , |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
[Basel]
Bank for International Settlements
2012
|
| Schriftenreihe: | BIS working papers
371 |
| Zusammenfassung: | We estimate a structural model of herding behavior in which feedback arises due to mutual concerns of traders over the unobservable "true" level of market liquidity. In a herding regime, random shocks are exacerbated by endogenous feedback, producing a dampened power-law in the fluctuation of largest sales. The key to the fluctuation is that each trader responds not only to private information, but also to the aggregate behavior of others. Applying the model to the data on portfolios of institutional investors (fund managers), we find that the empirical distribution is consistent with model predictions. A stock's realized illiquidity propagates herding and raises the probability of observing a sell-off. The distribution function itself has desirable properties for evaluating "tail risk". |
| Beschreibung: | 53 S. graph. Darst. |
Internformat
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| 100 | 1 | |a Nirei, Makoto |e Verfasser |4 aut | |
| 245 | 1 | 0 | |a Stochastic herding in financial markets evidence from institutional investor equity portfolios |c by Makoto Nirei, Theodoros Stamatiou and Vladyslav Sushko |
| 264 | 1 | |a [Basel] |b Bank for International Settlements |c 2012 | |
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| 490 | 1 | |a BIS working papers |v 371 | |
| 520 | 8 | |a We estimate a structural model of herding behavior in which feedback arises due to mutual concerns of traders over the unobservable "true" level of market liquidity. In a herding regime, random shocks are exacerbated by endogenous feedback, producing a dampened power-law in the fluctuation of largest sales. The key to the fluctuation is that each trader responds not only to private information, but also to the aggregate behavior of others. Applying the model to the data on portfolios of institutional investors (fund managers), we find that the empirical distribution is consistent with model predictions. A stock's realized illiquidity propagates herding and raises the probability of observing a sell-off. The distribution function itself has desirable properties for evaluating "tail risk". | |
| 700 | 1 | |a Stamatiou, Theodoros |e Verfasser |4 aut | |
| 700 | 1 | |a Sushko, Vladyslav |e Verfasser |4 aut | |
| 830 | 0 | |a BIS working papers |v 371 |w (DE-604)BV005629122 |9 371 | |
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| id | DE-604.BV040237052 |
| illustrated | Illustrated |
| indexdate | 2024-07-10T00:19:40Z |
| institution | BVB |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-025093329 |
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| physical | 53 S. graph. Darst. |
| publishDate | 2012 |
| publishDateSearch | 2012 |
| publishDateSort | 2012 |
| publisher | Bank for International Settlements |
| record_format | marc |
| series | BIS working papers |
| series2 | BIS working papers |
| spelling | Nirei, Makoto Verfasser aut Stochastic herding in financial markets evidence from institutional investor equity portfolios by Makoto Nirei, Theodoros Stamatiou and Vladyslav Sushko [Basel] Bank for International Settlements 2012 53 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier BIS working papers 371 We estimate a structural model of herding behavior in which feedback arises due to mutual concerns of traders over the unobservable "true" level of market liquidity. In a herding regime, random shocks are exacerbated by endogenous feedback, producing a dampened power-law in the fluctuation of largest sales. The key to the fluctuation is that each trader responds not only to private information, but also to the aggregate behavior of others. Applying the model to the data on portfolios of institutional investors (fund managers), we find that the empirical distribution is consistent with model predictions. A stock's realized illiquidity propagates herding and raises the probability of observing a sell-off. The distribution function itself has desirable properties for evaluating "tail risk". Stamatiou, Theodoros Verfasser aut Sushko, Vladyslav Verfasser aut BIS working papers 371 (DE-604)BV005629122 371 |
| spellingShingle | Nirei, Makoto Stamatiou, Theodoros Sushko, Vladyslav Stochastic herding in financial markets evidence from institutional investor equity portfolios BIS working papers |
| title | Stochastic herding in financial markets evidence from institutional investor equity portfolios |
| title_auth | Stochastic herding in financial markets evidence from institutional investor equity portfolios |
| title_exact_search | Stochastic herding in financial markets evidence from institutional investor equity portfolios |
| title_full | Stochastic herding in financial markets evidence from institutional investor equity portfolios by Makoto Nirei, Theodoros Stamatiou and Vladyslav Sushko |
| title_fullStr | Stochastic herding in financial markets evidence from institutional investor equity portfolios by Makoto Nirei, Theodoros Stamatiou and Vladyslav Sushko |
| title_full_unstemmed | Stochastic herding in financial markets evidence from institutional investor equity portfolios by Makoto Nirei, Theodoros Stamatiou and Vladyslav Sushko |
| title_short | Stochastic herding in financial markets evidence from institutional investor equity portfolios |
| title_sort | stochastic herding in financial markets evidence from institutional investor equity portfolios |
| volume_link | (DE-604)BV005629122 |
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