%0 Journal Article
	%A Amina Amirat and  Abdelfettah Bouri
	%D 2009
	%J International Journal of Psychological and Behavioral Sciences
	%B World Academy of Science, Engineering and Technology
	%I Open Science Index 30, 2009
	%T A New Measure of Herding Behavior: Derivation and Implications
	%U https://publications.waset.org/pdf/4857
	%V 30
	%X If price and quantity are the fundamental building
blocks of any theory of market interactions, the importance of trading
volume in understanding the behavior of financial markets is clear.
However, while many economic models of financial markets have
been developed to explain the behavior of prices -predictability,
variability, and information content- far less attention has been
devoted to explaining the behavior of trading volume. In this article,
we hope to expand our understanding of trading volume by
developing a new measure of herding behavior based on a cross
sectional dispersion of volumes betas. We apply our measure to the
Toronto stock exchange using monthly data from January 2000 to
December 2002. Our findings show that the herd phenomenon
consists of three essential components: stationary herding, intentional
herding and the feedback herding.
	%P 1287 - 1301