Bayesian analysis of herding behaviour: an application to Spanish equity mutual funds

DOI10.1002/ASMB.2087zbMATH Open1420.91442OpenAlexW1998620438MaRDI QIDQ4620126FDOQ4620126

Authors: Laura Andreu, Pilar Gargallo, Manuel Salvador, José Luis Sarto 

Publication date: 8 February 2019

Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL: http://zaguan.unizar.es/record/32734

Recommendations

• A research of herding by institutional investors based on an extended model of CCK
• Testing for persistence in US mutual funds' performance: a Bayesian dynamic panel model
• Stochastic modelling of herd behaviour indices
• Herding behaviour and volatility clustering in financial markets
• The herd behavior index: a new measure for the implied degree of co-movement in stock markets

zbMATH Keywords

Bayesian inferenceMCMCweighted likelihoodFama and French three-factor modelherding behaviourequity mutual fundsstyle exposures

Mathematics Subject Classification ID

Bayesian inference (62F15) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cited In (2)

• Leaders and followers in mutual funds: a dynamic Bayesian approach
• A research of herding by institutional investors based on an extended model of CCK

This page was built for publication: Bayesian analysis of herding behaviour: an application to Spanish equity mutual funds

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4620126)