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

Junkai Wang; Robert Hudson

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

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

University of Hull

Research output: Contribution to journal › Article › peer-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 language	English
Journal	Economics Bulletin
Volume	43
Issue number	2
Publication status	Published (VoR) - 2023

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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.",

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

Abstract

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