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¿Influyen los tigres asiáticos en el comportamiento gregario español?

Author

Listed:
  • Blasco, Natividad

    (Departamento de Contabilidad y Finanzas, Universidad de Zaragoza)

  • Corredor, Pilar

    (Departamento de Gestión de Empresas, Universidad Pública de Navarra)

  • Ferreruela, Sandra

    (Departamento de Contabilidad y Finanzas, Universidad de Zaragoza)

Abstract

The purpose of this research is to explore the herding phenomenon during the Asian crisis of 1997 using intraday data and a herding intensity measure that is free of the bias inherent in other measures. The findings suggest that the crisis did not affect herding intensity to the same extent across all stocks, the largest and most persistent impact of the crisis being found in stocks with derivatives during the sample period. An additional analysis across sectors reveals that the strongest effect on ordinary herding levels at times of crisis is in the finance and energy sectors.// Este artículo intenta ahondar en el fenómeno imitador (herding) durante la crisis asiática de 1997. Para ello se emplea una medida de la intensidad de herding exenta del sesgo presente en otras medidas y se utiliza datos intradiarios. Los resultados que se obtiene dejan entrever que el efecto de la crisis no afectó de manera homogénea la conducta imitadora en todos los activos del mercado, destacando como activos en los que la crisis se nota más y durante más tiempo las acciones que poseen opción durante el periodo analizado. Un análisis adicional por sectores pone de manifiesto que el sector financiero y el energético son los más afectados en su herding ordinario en momentos de crisis.

Suggested Citation

  • Blasco, Natividad & Corredor, Pilar & Ferreruela, Sandra, 2010. "¿Influyen los tigres asiáticos en el comportamiento gregario español?," El Trimestre Económico, Fondo de Cultura Económica, vol. 0(306), pages 423-444, abril-jun.
    • Handle: RePEc:elt:journl:v:77:y:2010:i:306:p:423-444
    DOI: http://dx.doi.org/10.20430/ete.v77i306.469
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    Cited by:

    1. Natividad Blasco & Pilar Corredor & Sandra Ferreruela, 2010. "Intentional Herding in Stock Markets: An Alternate Approach in an International Context," Chapters, in: Brian Bruce (ed.), Handbook of Behavioral Finance, chapter 6, Edward Elgar Publishing.

    More about this item

    Keywords

    herding; stock market; behavioral finance; microstructure; crisis; imitación; mercado de acciones; finanzas del comportamiento; microestructura; crisis asiática;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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