Testing for herding using different return definitions: a comparison between simple and logarithmic returns

Wang, Junkai; Hudson, Robert

Abstract

We outline theoretically why different return measures (simple or logarithmic) may affect tests for herding. Comprehensive empirical tests using data from many major world financial markets confirm that different returns measures do frequently lead to different conclusions about the presence of herding.

Citation

Wang, J., & Hudson, R. (2023). Testing for herding using different return definitions: a comparison between simple and logarithmic returns. Economics Bulletin, 43(2), 1070-1080

• Journal Article Type: Article
• Acceptance Date: May 23, 2023
• Publication Date: Jan 1, 2023
• Deposit Date: Jun 29, 2024
• Publicly Available Date: Jul 3, 2024
• Journal: Economics Bulletin
• Print ISSN: 1545-2921
• Electronic ISSN: 1545-2921
• Publisher: Economics Bulletin
• Peer Reviewed: Peer Reviewed
• Volume: 43
• Issue: 2
• Pages: 1070-1080
• Public URL: https://hull-repository.worktribe.com/output/4721567