Intraday herding on a cross-border exchange
Andrikopoulos, Panagiotis Kallinterakis, Vasileios Leite Ferreira, Mario Pedro Verousis, Thanos
Andrikopoulos, Panagiotis
Kallinterakis, Vasileios
Leite Ferreira, Mario Pedro
Verousis, Thanos
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Publication Type
Journal article with impact factor
Editor
Supervisor
Publication Year
2017
Journal
International Review of Financial Analysis
Book
Publication Volume
53
Publication Issue
October
Publication Begin page
25
Publication End page
26
Publication NUmber of pages
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Abstract
This study investigates intraday herding on the Euronext, the world's first cross-border consolidated exchange. Intraday herding is significant in the Euronext as a group and presents us with size, industry and country effects. Importantly, the trading dynamics of the group's member markets significantly affect each other and can, in the case of the Netherlands, promote herding formation. Intraday herding is found to be significant before, during and after the 2007–09 financial crisis period, with its presence appearing the least strong during the crisis. Overall, we demonstrate for the first time in the literature that cross-border exchanges harbour versatile herding dynamics at intraday level, a finding which reflects recent advances in financial technology and the ongoing financial integration in Europe.
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Keywords
Tick Data, Intraday Herding, Cross-Border Groups, Euronext