Do investors follow the herd in option markets?

被引：15

作者：

Bernales, Alejandro ^{[1
,2
,3
]}

Verousis, Thanos ^{[4
]}

Voukelatos, Nikolaos ^{[5
]}

机构：

[1] Univ Chile, Ctr Finance, Santiago, Chile

[2] Univ Chile, Ctr Appl Econ, Santiago, Chile

[3] City Univ Hong Kong, Res Ctr Int Econ, Hong Kong, Peoples R China

[4] Newcastle Univ, Business Sch, Newcastle Upon Tyne, Tyne & Wear, England

[5] Univ Kent, Kent Business Sch, Canterbury CT2 7PE, Kent, England

来源：

JOURNAL OF BANKING & FINANCE | 2020年 / 119卷

关键词：

Herding; Cross-sectional dispersion; Options; EMPIRICAL-EXAMINATION; BAD-NEWS; STOCK; VOLATILITY; BEHAVIOR; INFORMATION; QUALITY; PRICE;

D O I：

10.1016/j.jbankfin.2016.02.002

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We investigate the previously unexplored herding behaviour of investors in option markets, by examining equity option contracts traded in the US between 1996 and 2012. We document strong herding effects in option trading activity that are conditional on a set of systematic factors related to periods of market stress. More specifically, we find that option investors tend to herd during periods of high market volatility risk, on dates of macroeconomic announcements, during the financial crisis of 2008, when a large number of market option positions is either opened or closed, and during periods of a large average dispersion of analysts' forecasts. (C) 2016 Elsevier B.V. All rights reserved.

引用

页数：16

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