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  • 1.
    Ohlson, Per
    Jönköping University, Jönköping International Business School, JIBS, Accounting and Finance.
    Herd Behavior on the Swedish Stock Exchange 2010Independent thesis Advanced level (degree of Master (Two Years)), 20 credits / 30 HE creditsStudent thesis
    Abstract [en]

    In this study the Stockholm Stock Exchange in Sweden is examined for herd behavior with a market wide approach. Three models, one created by Christie and Huang (1995) and the others created by Chang, Cheng and Khorana (1999), are applied to detect herd behavior from 1998 to 2009. Herd behavior is found in up-going market days, measuring on daily bases over the entire time frame. When breaking down the test period into annual sub-periods, herd behavior is evident in the bullish markets of 2005 and 2007. In days with the most extreme market movements herd behavior is found in large cap stocks but not in the small cap. The result indicates a tendency of an increasing level of herd behavior over the measured period, which can be attributed to the increased influence of institutional ownership. Moreover, the data was adjusted for thinly traded stocks and the result is contradictive to previous studies. The reduction of thinly traded stocks seems to have an increasing effect on the herd-measure, implying that the presence of thinly traded stocks puts a negative bias on the herd-measures.

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