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Herding in the Spanish Stock Market: some intraday evidence
Natividad Blasco de las Heras and Sandra Ferreruela Garcés |
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This paper attempts to detect herd behaviour of market participants in the Spanish Stock Exchange using an intraday dataset. Our study is based on three different approaches: the length and frequency of trading runs, the dependence between interarrival trade times and the presence of leader brokers in the market. The results show evidence in favour of imitative behaviour along the trading sessions.
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