Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/2067/43072
Titolo: Herding in mutual funds: A complex network approach
Autori: D'Arcangelis, Anna Maria 
Rotundo, Giulia
Data pubblicazione: 2019
© 2019 The paper investigates herding in mutual funds through a complex networks approach. The detection of significant correlation coefficients constitutes the basis for the construction of the network. Some centrality measures and the assortativity are added as explanatory variables in the regression analysis of two popular indicators of herding, largely applied in finance literature. Cross-Sectional Standard Deviation and Cross-Sectional Absolute Deviation are both considered since they emphasize the bulk and the extreme values of herding. Two dummy variables designed to capture differences in investor behaviour in extreme up or down versus relatively normal markets are considered as independent variables. The results show a clear decrease of herding in stressful periods of the market. Moreover, the prevailing explanatory power of the betweenness is well evidenced, thereby highlighting the role of the network structure. In line with the literature on herding, the results also evidence a flight to safety effect.
URI: http://hdl.handle.net/2067/43072
ISSN: 0148-2963
DOI: 10.1016/j.jbusres.2019.11.016
È visualizzato nelle collezioni:A1. Articolo in rivista

File in questo documento:
File Descrizione DimensioniFormato Existing users please
Herding-in-mutual-funds-A-complex-network-approach2019Journal-of-Business-Research.pdfHerding in mutual funds: A complex network approach547.73 kBAdobe PDF  Richiedi una copia
Visualizza tutti i metadati del documento

Citations 10

Last Week
Last month
controllato il 15-set-2021

Page view(s)

Last Week
Last month
controllato il 18-set-2021

Google ScholarTM



Tutti i documenti nella community "Unitus Open Access" sono pubblicati ad accesso aperto.
Tutti i documenti nella community Prodotti della Ricerca" sono ad accesso riservato salvo diversa indicazione per alcuni documenti specifici