Bubbles and Volatility of Stock Prices: Effect of Mimetic Contagion

Topol, Richard

doi:10.2307/2233855

Cited by 134 publications

(68 citation statements)

References 25 publications

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“…A number of recent studies have considered mimetic behavior as a possible explanation for the excessive volatility observed in financial markets [5,47,49]. The existence of herd behavior in speculative markets has been documented by a certain number of studies: Scharfstein and Stein [44] discuss evidence of herding in the behavior of fund managers, Grinblatt et al [26] report herding in mutual fund behavior while Trueman [50] and Welch [51] show evidence for herding in the forecasts made by financial analysts.…”

Section: Herd Behavior In Financial Marketsmentioning

confidence: 99%

Herd Behavior and Aggregate Fluctuations in Financial Markets

2000

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We present a simple model of a stock market where a random communication structure between agents generically gives rise to a heavy tails in the distribution of stock price variations in the form of an exponentially truncated power-law, similar to distributions observed in recent empirical studies of high frequency market data. Our model provides a link between two well-known market phenomena: the heavy tails observed in the distribution of stock market returns on one hand and 'herding' behavior in financial markets on the other hand. In particular, our study suggests a relation between the excess kurtosis observed in asset returns, the market order flow and the tendency of market participants to imitate each other.

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Section: Herd Behavior In Financial Marketsmentioning

confidence: 99%

Herd Behavior and Aggregate Fluctuations in Financial Markets

2000

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“…Other papers that deal with simple agent populations that move around based on forecast performance are Kirman (1993), Linn and Tay (1998), Lux (1998), Topol (1991), and Sacco (1992).…”

Section: Neural Network Based Agentsmentioning

confidence: 99%

Agent-based computational finance: Suggested readings and early research

LeBaron

2000

Journal of Economic Dynamics and Control

406

174

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The use of computer simulated markets with individual adaptive agents in "nance is a new, but growing "eld. This paper explores some of the early works in the area concentrating on a set of some of the earliest papers. Six papers are summarized in detail, along with references to many other pieces of this wide ranging research area. It also covers many of the questions that new researchers will face when getting into the "eld, and hopefully can serve as a kind of minitutorial for those interested in getting started.

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“…31 Sectoral differences are normal, but they tend to be smaller than observed in Jordan. 32 See Topol (1991) on the relationship between price volatility and bubbles. Technically, the concept of a standard deviation of a nonstationary variable such as the index is not defined.…”

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confidence: 99%

The Jordanian Stock Market: Should You Invest in it for Risk Diversification or Performance?

Petri

Saadi-Sedik²

2006

IMF Working Papers

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This Working Paper should not be reported as representing the views of the IMF. We analyze the performance of the Amman Stock Exchange (ASE) and its integration with other markets. Using cointegration techniques, we find that the ASE and other Arab stock markets are cointegrated, which implies little long-run risk diversification. However, there is no cointegrating relationship between the ASE and other emerging or developed stock markets. Two of the main regional stock markets-Kuwait and Saudi Arabia-Grangercause the Jordanian stock market. The paper finds that there may have been some overvaluation at end-2005, but that the market correction in early 2006 and strong recent earnings growth have reduced overvaluation concerns. JEL Classification Numbers: G11, G12, G15, C32, F30

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Bubbles and Volatility of Stock Prices: Effect of Mimetic Contagion

Cited by 134 publications

References 25 publications

Herd Behavior and Aggregate Fluctuations in Financial Markets

Herd Behavior and Aggregate Fluctuations in Financial Markets

Agent-based computational finance: Suggested readings and early research

The Jordanian Stock Market: Should You Invest in it for Risk Diversification or Performance?

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