Testing for Herding using Different Return Definitions: A Comparison between Simple and Logarithmic Returns

Junkai Wang (Corresponding / Lead Author), Robert Hudson (Corresponding / Lead Author)

    Research output: Contribution to journalArticlepeer-review

    Abstract

    We outline theoretically why different return measures (simple or logarithmic) may affect tests for herding. Comprehensive empirical tests using data from many major world financial markets confirm that different returns measures do frequently lead to different conclusions about the presence of herding.
    Original languageEnglish
    JournalEconomics Bulletin
    Volume43
    Issue number2
    Publication statusPublished (VoR) - 2023

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