Statystyczne nadanie zachowań stadnych na rynkach kapitałowych

• Autorzy: Daniel Papla

Warianty tytułu

Statistical Analysis of Herd Behavior on Capital Markets

• Języki publikacji: PL

Abstrakty

Wyjaśniono pojęcia zachowania stadnego oraz przedstawiono modele zachowań stadnych. Omówiono wyniki badań opartych na metodologii W. Christiego i R. Huanga oraz E. Changa, J. Chenga i A. Khoramy.

EN

This paper presents statistical analysis one of the phenomenon, which makes capital markets less efficient - so called herd behavior of investors. We applied two methods to test desire of investors to follow each other. First is analysis of behavior of returns cross-sectional standard deviation (CSSD) (Christie, Huang, 1995). Second method bases on examination of cross-sectional absolute deviation (CSAD) (Chang, Cheng, Khorama, 1999). Paper consists of three parts. First part presents both methods of testing investors behaviors with preliminary analysis of potential advantages and disadvantages of these methods. Second contains results of empirical research, in which we used data taken from Warsaw Stock Exchange. Analysis of these results and conclusions were presented in third part. (original abstract)

Słowa kluczowe

PL

Rynek kapitałowy; Teoria zachowań; Badania naukowe; Zachowania stadne

EN

Capital market; Behaviour theory; Scientific research; Herding behaviour

• Czasopismo: Prace Naukowe Akademii Ekonomicznej we Wrocławiu. Ekonometria
• Rocznik: 2001
• Tom: 7
• Numer: nr 895 Zastosowania metod ilościowych
• Strony: 178--187

Twórcy

autor

Daniel Papla

Bibliografia

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