Do Investors Follow the Herd in Option Markets
| Author | dc.contributor.author | Bernales Silva, Alejandro | |
| Author | dc.contributor.author | Verousis, Thanos | |
| Author | dc.contributor.author | Voukelatos, Nikolaos | |
| Admission date | dc.date.accessioned | 2021-01-04T21:24:20Z | |
| Available date | dc.date.available | 2021-01-04T21:24:20Z | |
| Publication date | dc.date.issued | 2020 | |
| Cita de ítem | dc.identifier.citation | Journal of Banking & Finance Volume 119, October 2020, 104899 | es_ES |
| Identifier | dc.identifier.other | 10.1016/j.jbankfin.2016.02.002 | |
| Identifier | dc.identifier.uri | https://repositorio.uchile.cl/handle/2250/178191 | |
| Abstract | dc.description.abstract | We investigate the previously unexplored herding behaviour of investors in option markets, by examining equity option contracts traded in the US between 1996 and 2012. We document strong herding effects in option trading activity that are conditional on a set of systematic factors related to periods of market stress. More specifically, we find that option investors tend to herd during periods of high market volatility risk, on dates of macroeconomic announcements, during the financial crisis of 2008, when a large number of market option positions is either opened or closed, and during periods of a large average dispersion of analysts' forecasts. | es_ES |
| Patrocinador | dc.description.sponsorship | Comisión Nacional de Investigación Científica y Tecnológica (CONICYT) CONICYT FONDECYT 11140628 Institute for Research in Market Imperfections and Public Policy ICM IS130002 | es_ES |
| Lenguage | dc.language.iso | en | es_ES |
| Type of license | dc.rights | Attribution-NonCommercial-NoDerivs 3.0 Chile | * |
| Link to License | dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/3.0/cl/ | * |
| Source | dc.source | Journal of Banking & Finance | es_ES |
| Keywords | dc.subject | Herding | es_ES |
| Keywords | dc.subject | Cross-Sectional Dispersion | es_ES |
| Keywords | dc.subject | Options | es_ES |
| Título | dc.title | Do Investors Follow the Herd in Option Markets | es_ES |
| Document type | dc.type | Artículo de revista | es_ES |
| dcterms.accessRights | dcterms.accessRights | Acceso Abierto | |
| Cataloguer | uchile.catalogador | ctc | es_ES |
| Indexation | uchile.index | Artículo de publicación ISI | |
| Indexation | uchile.index | Artículo de publicación SCOPUS |
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Except where otherwise noted, this item's license is described as Attribution-NonCommercial-NoDerivs 3.0 Chile