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Intraday herding on a cross-border exchange

Author

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  • Andrikopoulos, Panagiotis
  • Kallinterakis, Vasileios
  • Leite Ferreira, Mario Pedro
  • Verousis, Thanos

Abstract

This study investigates intraday herding on the Euronext, the world's first cross-border consolidated exchange. Intraday herding is significant in the Euronext as a group and presents us with size, industry and country effects. Importantly, the trading dynamics of the group's member markets significantly affect each other and can, in the case of the Netherlands, promote herding formation. Intraday herding is found to be significant before, during and after the 2007–09 financial crisis period, with its presence appearing the least strong during the crisis. Overall, we demonstrate for the first time in the literature that cross-border exchanges harbour versatile herding dynamics at intraday level, a finding which reflects recent advances in financial technology and the ongoing financial integration in Europe.

Suggested Citation

  • Andrikopoulos, Panagiotis & Kallinterakis, Vasileios & Leite Ferreira, Mario Pedro & Verousis, Thanos, 2017. "Intraday herding on a cross-border exchange," International Review of Financial Analysis, Elsevier, vol. 53(C), pages 25-36.
    • Handle: RePEc:eee:finana:v:53:y:2017:i:c:p:25-36
    DOI: 10.1016/j.irfa.2017.08.010
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    More about this item

    Keywords

    Tick data; Intraday herding; Cross-border groups; Euronext;
    All these keywords.

    JEL classification:

    • G02 - Financial Economics - - General - - - Behavioral Finance: Underlying Principles
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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