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Herding, contrarianism and delay in financial market trading
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Park, Andreas and Sgroi, Daniel (2012) Herding, contrarianism and delay in financial market trading. European Economic Review , Vol.56 (No.6). pp. 1020-1037. doi:10.1016/j.euroecorev.2012.04.006 ISSN 0014-2921.
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Official URL: http://dx.doi.org/10.1016/j.euroecorev.2012.04.006
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 | ||||
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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 | ||||
Official Date: | August 2012 | ||||
Dates: |
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Volume: | Vol.56 | ||||
Number: | No.6 | ||||
Page Range: | pp. 1020-1037 | ||||
DOI: | 10.1016/j.euroecorev.2012.04.006 | ||||
Status: | Peer Reviewed | ||||
Publication Status: | Published | ||||
Access rights to Published version: | Restricted or Subscription Access | ||||
Date of first compliant deposit: | 23 December 2015 | ||||
Date of first compliant Open Access: | 23 December 2015 | ||||
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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