Park, Andreas and Sgroi, Daniel. (2012) Herding, contrarianism and delay in financial market trading. European Economic Review , Vol.56 (No.6). pp. 1020-1037. ISSN 0014-2921

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Abstract

Herding and contrarian behaviour are often-cited features of real-world financial markets. Theoretical models of continuous trading that study herding and contrarianism, however, usually do not allow traders to choose when to trade or to trade more than once. We present a large-scale experiment to explore these features within a tightly controlled laboratory environment. Herding and contrarianism are more pronounced than in comparable studies that do not allow traders to time their decisions. Traders with extreme information tend to trade earliest, followed by those with information conducive to contrarianism, while those with the theoretical potential to herd delay the most. A sizeable fraction of trades is clustered in time.

Item Type:	Journal Article
Subjects:	H Social Sciences > HG Finance
Divisions:	Faculty of Social Sciences > Economics
Library of Congress Subject Headings (LCSH):	Money market -- Econometric models
Journal or Publication Title:	European Economic Review
Publisher:	Elsevier
ISSN:	0014-2921
Date:	August 2012
Volume:	Vol.56
Number:	No.6
Page Range:	pp. 1020-1037
Identification Number:	10.1016/j.euroecorev.2012.04.006
Status:	Peer Reviewed
Publication Status:	Published
Access rights to Published version:	Restricted or Subscription Access
Funder:	Economic and Social Research Council (Great Britain) (ESRC), Social Sciences and Humanities Research Council of Canada (SSHRC), Leverhulme Trust (LT), Cambridge Endowment for Research in Finance (CERF)
Grant number:	RES-156-25-0023 (ESRC)
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URI:	http://wrap.warwick.ac.uk/id/eprint/51331

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