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Does thin Trading Impact Upon the Measurement of Herding? Evidence from Bulgaria

Author

Listed:
  • Vasileios Kallinterakis

    (University of Durham Business School, Department of Economics and Finance, Durham, United Kingdom)

  • Tatyana Kratunova

    (Naba Invest JSK Varna, Bulgaria)

Abstract

Research in Finance has revealed the presence of higher hearding levels in emerging capital markets compared to their developed counterparts. However, although emerging markets are often typified by thin trading, the latter has never been accounted for in herding estimations. We address this issue for the first time by testing for herding in the Bulgarian market using the methodology proposed by Hwang and Salmon (2004). Results indicate that thin trading leads to an underestimated picture of herding, thus producing evidence in favor of the impact of thin trading upon the measurement of herding.

Suggested Citation

  • Vasileios Kallinterakis & Tatyana Kratunova, 2007. "Does thin Trading Impact Upon the Measurement of Herding? Evidence from Bulgaria," Ekonomia, Cyprus Economic Society and University of Cyprus, vol. 10(1), pages 42-65, Summer.
    • Handle: RePEc:ekn:ekonom:v:10:y:2007:i:1:p:42-65
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    Citations

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    Cited by:

    1. Kremer, Stephanie, 2010. "Herding of institutional traders," SFB 649 Discussion Papers 2010-025, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    2. Kremer, Stephanie & Nautz, Dieter, 2011. "Short-term herding of institutional traders: New evidence from the German stock market," SFB 649 Discussion Papers 2011-015, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    3. Pegah Dehghani & Ros Zam Zam Sapian, 2014. "Sectoral herding behavior in the aftermarket of Malaysian IPOs," Venture Capital, Taylor & Francis Journals, vol. 16(3), pages 227-246, July.
    4. Sunil Poshakwale & Anandadeep Mandal, 2014. "Investor Behaviour and Herding: Evidence from the National Stock Exchange in India," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 13(2), pages 197-216, August.
    5. Yi-Chang Chen & Hung-Che Wu & Jen-Jsung Huang, 2017. "Herd Behavior and Rational Expectations: A Test of China's Market Using Quantile Regression," International Journal of Economics and Financial Issues, Econjournals, vol. 7(2), pages 649-663.
    6. Andreea Pece, 2014. "The Herding Behavior On Small Capital Markets: Evidence From Romania," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, vol. 1(1), pages 795-801, July.
    7. Guglielmo Maria Caporale & Nikolaos Philippas & Fotini Economou, 2008. "Herding behaviour in extreme market conditions: the case of the Athens Stock Exchange," Economics Bulletin, AccessEcon, vol. 7(17), pages 1-13.
    8. R. Eki Rahman & Ermawati, 2020. "An Analysis Of Herding Behavior In The Stock Market: A Case Study Of The Asean-5 And The United States," Bulletin of Monetary Economics and Banking, Bank Indonesia, vol. 23(3), pages 297-318, October.
    9. M.V. Lakshman & Sankarshan Basu & R. Vaidyanathan, 2013. "Market-wide Herding and the Impact of Institutional Investors in the Indian Capital Market," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 12(2), pages 197-237, August.
    10. Coskun, Esra Alp & Lau, Chi Keung Marco & Kahyaoglu, Hakan, 2020. "Uncertainty and herding behavior: evidence from cryptocurrencies," Research in International Business and Finance, Elsevier, vol. 54(C).
    11. Stephanie Kremer & Dieter Nautz, 2013. "Short†term Herding of Institutional Traders: New Evidence from the German Stock Market," European Financial Management, European Financial Management Association, vol. 19(4), pages 730-746, September.

    More about this item

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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