Efecto rebaño asimétrico en retornos individuales

Translated title of the contribution: Asymmetrical individual return herding

Research output: Contribution to journalArticlepeer-review

3 Scopus citations


Herding takes place when individuals tend to rely on the consensus opinion and past trades rather than on fundamental asset pricing. In this study, we focus on 101 Chilean stocks over the period 1990-2009. Contrary to empirical evidence for the United States and international markets (e.g., Christie & Huang, 1995; Demirer & Kutan, 2006; Gleason, Lee & Mathur 2003; Gleason, Mathur & Peterson, 2004), we conclude that herding in individual stocks is more likely during extreme down markets, after controlling for trading volume. Our results also suggest an inverse relationship between volatility and trading volume, which contradicts the one-factor mixture-of-distribution hypothesis (MDH). Such an inverse association appears statistically more significant when choosing more extreme return thresholds.

Translated title of the contributionAsymmetrical individual return herding
Original languageSpanish
Pages (from-to)20-39
Number of pages20
JournalAcademia Revista Latinoamericana de Administracion
Issue number45
StatePublished - 2010


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