Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/2067/43072
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dc.contributor.authorD'Arcangelis, Anna Mariait
dc.contributor.authorRotundo, Giuliait
dc.date.accessioned2021-02-28T22:00:57Z-
dc.date.available2021-02-28T22:00:57Z-
dc.date.issued2019it
dc.identifier.issn0148-2963it
dc.identifier.urihttp://hdl.handle.net/2067/43072-
dc.description.abstract© 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.it
dc.format.mediumELETTRONICOit
dc.language.isoengit
dc.titleHerding in mutual funds: A complex network approachit
dc.typearticle*
dc.identifier.doi10.1016/j.jbusres.2019.11.016it
dc.identifier.scopus2-s2.0-85076578135it
dc.identifier.urlhttps://api.elsevier.com/content/abstract/scopus_id/85076578135it
dc.identifier.urlhttps://www.sciencedirect.com/science/article/pii/S0148296319306782it
dc.relation.journalJOURNAL OF BUSINESS RESEARCHit
dc.relation.firstpage1it
dc.relation.lastpage8it
dc.relation.numberofpages8it
dc.subject.scientificsectorSECS-P/11it
dc.subject.keywordsHerding Mutual funds Complex networks Regression Asset management Strategic asset managementit
dc.subject.ercsectorSH1_7it
dc.description.numberofauthors2it
dc.contributor.countryITAit
dc.type.refereeREF_1it
dc.type.miur262*
item.languageiso639-1en-
item.grantfulltextrestricted-
item.openairetypearticle-
item.cerifentitytypePublications-
item.fulltextWith Fulltext-
item.openairecristypehttp://purl.org/coar/resource_type/c_18cf-
crisitem.journal.journalissn0148-2963-
crisitem.journal.anceE090809-
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