Herding dynamics in exchange groups: Evidence from Euronext
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Accepted version
Date
2014-12-04
Authors
Economou, Fotini
Gavriilidis, Konstantinos
Goyal, Abhinav
Kallinterakis, Vasileios
Journal Title
Journal ISSN
Volume Title
Publisher
Elsevier
Published Version
Abstract
This study investigates in the context of the Euronext, whether joining an exchange group affects herding in the group's member-markets and if this effect persists when accounting for various domestic and international market states, the dynamics of the group's member-markets and the outbreak of financial crises. We find that herding is significant post-merger in all four constituent equity markets (Belgium, France, the Netherlands and Portugal) of the Euronext, with herding in Portugal being significant (yet less strong) pre-merger as well. These results are robust when controlling for various domestic and international market states, as well as the dynamics of the group's markets. The period following the outbreak of the euro-zone sovereign debt crisis produces significant herding in Belgium, the Netherlands and Portugal, with this herding being motivated by the dynamics of the group's two largest markets (France and the Netherlands).
Description
Keywords
Euro-zone sovereign debt crisis , Euronext , Exchange groups , Herding , Market states
Citation
Economou, F., Gavriilidis, K., Goyal, A. and Kallinterakis, V. (2015) 'Herding dynamics in exchange groups: Evidence from Euronext', Journal of International Financial Markets, Institutions and Money, 34, pp. 228-244. doi: 10.1016/j.intfin.2014.11.013