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Herding and contrarian behavior in financial markets : an experimental analysis
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Park, Andreas and Sgroi, Daniel (2016) Herding and contrarian behavior in financial markets : an experimental analysis. Working Paper. Coventry: Department of Economics, University of Warwick. Warwick Economics Research Paper Series (WERPS) (1109). (Unpublished)
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Abstract
We analyze and confirm the existence and extent of rational informational herding and rational informational contrarianism in a financial market experiment, and compare and contrast these with equivalent irrational phenomena. In our study, subjects generally behave according to benchmark rationality. Traders who should herd or be contrarian in theory are the significant sources of both within the data. Correcting for subjects who can be identified as less rational increases our ability to predict herding or contrarian behavior considerably.
Item Type: | Working or Discussion Paper (Working Paper) | ||||
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Subjects: | H Social Sciences > HG Finance | ||||
Divisions: | Faculty of Social Sciences > Economics | ||||
Library of Congress Subject Headings (LCSH): | Stock exchanges, Floor traders (Finance), Mathematical models | ||||
Series Name: | Warwick Economics Research Paper Series (WERPS) | ||||
Publisher: | Department of Economics, University of Warwick | ||||
Place of Publication: | Coventry | ||||
ISSN: | 0083-7350 | ||||
Official Date: | January 2016 | ||||
Dates: |
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Number: | 1109 | ||||
Number of Pages: | 61 | ||||
Status: | Not Peer Reviewed | ||||
Publication Status: | Unpublished | ||||
Access rights to Published version: | Open Access (Creative Commons) | ||||
Funder: | Engineering and Physical Sciences Research Council (EPSRC), Cambridge Endowment for Research in Finance (CERF) | ||||
Grant number: | ES-156-25-0023 (EPSRC) | ||||
Version or Related Resource: | This paper also appears as CRETA Discussion Paper No: 17 | ||||
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