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Herding Does Not Exist or Just a Measurement Problem? A Meta-Analysis

In: Handbook On Business Information Systems

Author

Listed:
  • NIZAR HACHICHA

    (University of Economics and Management of Sfax, P.O. Box 1088, 3018 Sfax, Tunisia)

  • AMINA AMIRAT

    (University of Economics and Management of Sfax, P.O. Box 1088, 3018 Sfax, Tunisia)

  • ABDELFETTAH BOURI

    (University of Economics and Management of Sfax, P.O. Box 1088, 3018 Sfax, Tunisia)

Abstract

The topic of herd behavior is at the heart of wide-ranging debate in the growth literature. While there is an increasing interest in the attention paid by financial markets to imitation phenomenon, the empirical results of studies performed within different markets still oscillate between the existence or non-existence of this bias.We use four different methodologies to test whether returns do not behave as predicted by the capital asset pricing model in the Toronto stock exchange (TSX).We also contribute by applying a meta-analysis to existing studies estimating the impact of different measures on the validation of herding. We find that the lack of herding evidence is due to the used measures that present several shortcomings and cannot be directly applied to any stock market.

Suggested Citation

  • Nizar Hachicha & Amina Amirat & Abdelfettah Bouri, 2010. "Herding Does Not Exist or Just a Measurement Problem? A Meta-Analysis," World Scientific Book Chapters, in: Angappa Gunasekaran & Maqsood Sandhu (ed.), Handbook On Business Information Systems, chapter 34, pages 817-852, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789812836069_0034
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