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Herd Behavior in Financial Markets: A Review

Herd Behavior in Financial Markets: A Review »

Source: Herd Behavior in Financial Markets : A Review

Volume/Issue: 2000/48

Series: IMF Working Papers

Author(s): Sunil Sharma , and Sushil Bikhchandani

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 March 2000

ISBN: 9781451846737

Keywords: herd behavior, momentum strategies, financial markets, investors, mutual funds, foreign investors, investment strategies

Policymakers often express concern that herding by financial market participants destabilizes markets and increases the fragility of the financial system. This paper provides an overview of the recent theoretical a...

Financial Contagion and Investor "Learning"

Financial Contagion and Investor "Learning" »

Source: Financial Contagion and Investor "Learning" : An Empirical Investigation

Volume/Issue: 2002/218

Series: IMF Working Papers

Author(s): Ritu Basu

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 2002

ISBN: 9781451875157

Keywords: Contagion, trader behavior, herding, sunspots, learning, bond, currency crises, bond spreads, bond market, International Finance: General,

There have been several episodes of financial market "contagion" in the 1990s. Is contagion driven by herd behavior? Does it reflect fundamental economic linkages between countries? Or are episodes of contagion dri...

Can Short-Term Capital Controls Promote Capital Inflows?1

Can Short-Term Capital Controls Promote Capital Inflows?1 »

Source: Can Short-Term Capital Controls Promote Capital Inflows?

Volume/Issue: 1998/131

Series: IMF Working Papers

Author(s): Tito Cordella

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 September 1998

ISBN: 9781451855258

Keywords: capital controls, capital inflows, bank runs, herd behavior, investors, short-term capital inflows

In an economy à la Diamond and Dybvig (1983), we present an example in which foreign lenders find it profitable to invest in an emerging market if, and only if, the emerging market government imposes taxes o...

Estimating a Structural Model of Herd Behavior in Financial Markets

Estimating a Structural Model of Herd Behavior in Financial Markets »

Source: Estimating a Structural Model of Herd Behavior in Financial Markets

Volume/Issue: 2010/288

Series: IMF Working Papers

Author(s): Antonio Guarino , and Marco Cipriani

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 2010

ISBN: 9781455211692

Keywords: Herd Behavior, Market Microstructure, Structural Estimation, probability, financial markets, probabilities, standard deviation, financial economics, Asymmetric and Private Information, Estimation,

We develop a new methodology to estimate the importance of herd behavior in financial markets: we build a structural model of informational herding that can be estimated with financial transaction data. In the mode...

Donor Herding and Domestic Debt Crisis

Donor Herding and Domestic Debt Crisis »

Source: Donor Herding and Domestic Debt Crisis

Volume/Issue: 2006/109

Series: IMF Working Papers

Author(s): Ephraim Chirwa , Montfort Mlachila , and Yohane Anthony Khamfula

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 2006

ISBN: 9781451863697

Keywords: Donor herding behavior, domestic debt crisis, loan-pushing model, domestic-debt repayment gap, fiscal expenditure, debt crisis, domestic debt, domestic financial market, domestic debt data, Fiscal Expediture

This paper presents a new model based on the loan-pushing model by Basu (1991) to show how a domestic debt crisis can occur in a low-income country following donor herding. The model focuses on the rational herding...

Herd Behavior in Financial Markets
			: A Review

Herd Behavior in Financial Markets : A Review »

Volume/Issue: 2000/48

Series: IMF Working Papers

Author(s): Sunil Sharma , and Sushil Bikhchandani

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 March 2000

DOI: http://dx.doi.org/10.5089/9781451846737.001

ISBN: 9781451846737

Keywords: herd behavior, momentum strategies, financial markets, investors, mutual funds, foreign investors, investment strategies

Policymakers often express concern that herding by financial market participants destabilizes markets and increases the fragility of the financial system. This paper provides an overview of the recent theoretical a...

Financial Contagion and Investor "Learning"
			: An Empirical Investigation

Financial Contagion and Investor "Learning" : An Empirical Investigation »

Volume/Issue: 2002/218

Series: IMF Working Papers

Author(s): Ritu Basu

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 2002

DOI: http://dx.doi.org/10.5089/9781451875157.001

ISBN: 9781451875157

Keywords: Contagion, trader behavior, herding, sunspots, learning, bond, currency crises, bond spreads, bond market, International Finance: General,

There have been several episodes of financial market "contagion" in the 1990s. Is contagion driven by herd behavior? Does it reflect fundamental economic linkages between countries? Or are episodes of contagion dri...

Can Short-Term Capital Controls Promote Capital Inflows?

Can Short-Term Capital Controls Promote Capital Inflows? »

Volume/Issue: 1998/131

Series: IMF Working Papers

Author(s): Tito Cordella

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 September 1998

DOI: http://dx.doi.org/10.5089/9781451855258.001

ISBN: 9781451855258

Keywords: capital controls, capital inflows, bank runs, herd behavior, investors, short-term capital inflows

In an economy à la Diamond and Dybvig (1983), we present an example in which foreign lenders find it profitable to invest in an emerging market if, and only if, the emerging market government imposes taxes o...

Estimating a Structural Model of Herd Behavior in Financial Markets

Estimating a Structural Model of Herd Behavior in Financial Markets »

Volume/Issue: 2010/288

Series: IMF Working Papers

Author(s): Antonio Guarino , and Marco Cipriani

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 2010

DOI: http://dx.doi.org/10.5089/9781455211692.001

ISBN: 9781455211692

Keywords: Herd Behavior, Market Microstructure, Structural Estimation, probability, financial markets, probabilities, standard deviation, financial economics, Asymmetric and Private Information, Estimation,

We develop a new methodology to estimate the importance of herd behavior in financial markets: we build a structural model of informational herding that can be estimated with financial transaction data. In the mode...

Donor Herding and Domestic Debt Crisis

Donor Herding and Domestic Debt Crisis »

Volume/Issue: 2006/109

Series: IMF Working Papers

Author(s): Ephraim Chirwa , Montfort Mlachila , and Yohane Anthony Khamfula

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 2006

DOI: http://dx.doi.org/10.5089/9781451863697.001

ISBN: 9781451863697

Keywords: Donor herding behavior, domestic debt crisis, loan-pushing model, domestic-debt repayment gap, fiscal expenditure, debt crisis, domestic debt, domestic financial market, domestic debt data, Fiscal Expediture

This paper presents a new model based on the loan-pushing model by Basu (1991) to show how a domestic debt crisis can occur in a low-income country following donor herding. The model focuses on the rational herding...