Herding dynamics in exchange groups: Evidence from Euronext

Economou, Fotini, Gavriilidis, Konstantinos, Goyal, Abhinav ORCID: 0000-0002-9859-2117 and Kallinterakis, Vasileios ORCID: 0000-0001-6217-1188 (2015) Herding dynamics in exchange groups: Evidence from Euronext. Journal of International Financial Markets Institutions & Money, 34 (C). pp. 228-244.

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Abstract

This study investigates in the context of the Euronext, whether joining an exchange group affects herding in the group’s member-markets and if this effect persists when accounting for various domestic and international market states, the dynamics of the group’s member-markets and the outbreak of financial crises. We find that herding is significant post-merger in all four constituent equity markets (Belgium, France, the Netherlands and Portugal) of the Euronext, with herding in Portugal being significant (yet less strong) pre-merger as well. These results are robust when controlling for various domestic and international market states, as well as the dynamics of the group’s markets. The period following the outbreak of the euro-zone sovereign debt crisis produces significant herding in Belgium, the Netherlands and Portugal, with this herding being motivated by the dynamics of the group’s two largest markets (France and the Netherlands).

Item Type:	Article
Additional Information:	Source info: Journal of International Financial Markets, Institutions and Money, Vol. 34, No. 228-244, 2015
Uncontrolled Keywords:	Herding, Exchange groups, Euronext, Euro-zone sovereign debt crisis, Market states
Depositing User:	Symplectic Admin
Date Deposited:	12 Mar 2015 09:42
Last Modified:	16 Dec 2022 17:04
DOI:	10.1016/j.intfin.2014.11.013
Related URLs:	Author Publisher
URI:	https://livrepository.liverpool.ac.uk/id/eprint/2008143