Herding, Information Cascades and Volatility Spillovers in Futures Markets
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- Michael McAleer & Kim Radalj, 2013. "Herding, Information Cascades and Volatility Spillovers in Futures Markets," Journal of Reviews on Global Economics, Lifescience Global, vol. 2, pages 307-329.
- Michael McAleer & Kim Radalj, 2013. "Herding, Information Cascades and Volatility Spillovers in Futures Markets," Documentos de Trabajo del ICAE 2013-25, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- McAleer, M.J. & Radalj, K., 2013. "Herding, Information Cascades and Volatility Spillovers in Futures Markets," Econometric Institute Research Papers EI 2013-23, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Michael McAleer & Kim Radalj, 2013. "Herding, Information Cascades and Volatility Spillovers in Futures Markets," KIER Working Papers 873, Kyoto University, Institute of Economic Research.
- Michael McAleer & Kim Radalj, 2013. "Herding, Information Cascades and Volatility Spillovers in Futures Markets," Tinbergen Institute Discussion Papers 13-086/III, Tinbergen Institute.
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- Simões Vieira, Elisabete F. & Valente Pereira, Márcia S., 2015. "Herding behaviour and sentiment: Evidence in a small European market," Revista de Contabilidad - Spanish Accounting Review, Elsevier, vol. 18(1), pages 78-86.
- Lin, William & Sun, David & Tsai, Shih-Chuan, 2010. "Does trading remove or bring frictions?," MPRA Paper 37285, University Library of Munich, Germany, revised Jan 2011.
- Sophie van Huellen, 2020.
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- Sophie van Huellen, 2019. "Approaches to Price Formation in Financialised Commodity Markets," Working Papers 223, Department of Economics, SOAS University of London, UK.
- Tian, Xin & Song, Yan & Luo, Chunlin & Zhou, Xiaoyang & Lev, Benjamin, 2021. "Herding behavior in supplier innovation crowdfunding: Evidence from Kickstarter," International Journal of Production Economics, Elsevier, vol. 239(C).
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More about this item
Keywords
Herding; speculation; hedging; noise traders; currency and commodity markets; futures and spot markets; time-varying volatility; causality-in-variance; spillovers;All these keywords.
JEL classification:
- D82 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Asymmetric and Private Information; Mechanism Design
- D84 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Expectations; Speculations
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
NEP fields
This paper has been announced in the following NEP Reports:- NEP-FMK-2013-08-05 (Financial Markets)
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