Review of Behavioral Finance最新文献

{"title":"Herd behavior in cryptocurrency market: evidence of network effect","authors":"Phasin Wanidwaranan, Santi Termprasertsakul","doi":"10.1108/rbf-03-2023-0079","DOIUrl":"https://doi.org/10.1108/rbf-03-2023-0079","url":null,"abstract":"Purpose This study examines herd behavior in the cryptocurrency market at the aggregate level and the determinants of herd behavior, such as asymmetric market returns, the coronavirus disease 2019 (COVID-19) pandemic, 2021 cryptocurrency's bear market and the network effect. Design/methodology/approach The authors applied the Google Search Volume Index (GSVI) as a proxy for the network effect. Since investors who are interested in a particular issue have a common interest, they tend to perform searches using the same keywords in Google and are on the same network. The authors also investigated the daily returns of cryptocurrencies, which are in the top 100 market capitalizations from 2017 to 2022. The authors also examine the association between return dispersion and portfolio return based on aggregate market herding model and employ interactions between herding determinants such as, market direction, market trend, COVID-19 and network effect. Findings The empirical results indicate that herding behavior in the cryptocurrency market is significantly captured when the market returns of cryptocurrency tend to decline and when the network effect of investors tends to expand (e.g. such as during the COVID-19 pandemic or 2021 Bitcoin crash). However, the results confirm anti-herd behavior in cryptocurrency during the COVID-19 pandemic or 2021 Bitcoin crash, regardless of the network effect. Practical implications These findings help investors in the cryptocurrency market make more rational decisions based on their determinants since cryptocurrency is an alternative investment for investors' asset allocation. As imitating trades lead to return comovement, herd behavior in the cryptocurrency has a direct impact on the effectiveness of portfolio diversification. Hence, market participants or investors should consider herd behavior and its underlying factors to fully maximize the benefits of asset allocation, especially during the period of market uncertainty. Originality/value Most previous studies have focused on herd behavior in the stock market. Although some researchers have recently begun studying herd behavior in the cryptocurrency market, the empirical results are inconclusive due to an incorrectly specified model or unclear determinants.","PeriodicalId":44559,"journal":{"name":"Review of Behavioral Finance","volume":"58 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-10-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"136293218","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Herding behavior by socially responsible investors during the COVID-19 pandemic","authors":"Manuel Lobato, Javier Rodríguez, Herminio Romero-Perez","doi":"10.1108/rbf-04-2023-0101","DOIUrl":"https://doi.org/10.1108/rbf-04-2023-0101","url":null,"abstract":"Purpose This study aims to examine the herding behavior of socially responsible exchange traded funds (SR ETFs) in comparison to conventional ETFs during the COVID-19 pandemic. Design/methodology/approach To test for herding behavior, the authors use the cross-sectional absolute deviation and a quadratic market model. Findings During the pandemic, investments in socially responsible financial products grew rapidly. And investors in the popular SR ETFs herd during this special period, while holders of conventional ETFs did not. Practical implications Investors in socially responsible investments must do their own research and make their own financial decisions, rather than follow the crowd, especially during extreme events like the COVID-19 pandemic. Originality/value The evidence shows that, during the pandemic, socially responsible ETFs behaved in line with theoretical predictions of herding, that is, herding is more significant during extreme market conditions.","PeriodicalId":44559,"journal":{"name":"Review of Behavioral Finance","volume":"27 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-09-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134885443","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Financial risk-taking in adult attention deficit hyperactivity disorder","authors":"Çağrı Hamurcu, Hayriye Dilek Yalvac Hamurcu, Merve Karakuş","doi":"10.1108/rbf-04-2023-0113","DOIUrl":"https://doi.org/10.1108/rbf-04-2023-0113","url":null,"abstract":"Purpose This study aimed to examine the financial risk-taking behaviors of adult individuals diagnosed with attention deficit hyperactivity disorder (ADHD). Design/methodology/approach The study was conducted with adults (n = 80) diagnosed with ADHD and healthy controls (n = 80). In order to measure risk-taking in the financial domain, the items in the investment and gambling sub-dimensions of the Domain-Specific Risk-Taking Scale (DOSPERT) were applied. Findings Adults with ADHD had higher investment and gambling risk-taking and expected benefits scores than the control group, and there was no difference between the two groups in terms of risk perceptions. In the regression analysis, there was a positive linear relationship between the investment and gambling risk-taking scores and the expected benefits scores in both groups. There was a negative linear relationship between investment risk-taking and risk perceptions scores only in the control group. Originality/value In terms of investment and gambling, both risk-taking and expected benefits are greater in individuals with ADHD. It has been observed that while healthy individuals take investment risks, they evaluate according to the expected benefits and risk perceptions, while individuals with ADHD make evaluations only according to the expected benefits, risk perceptions do not predict financial risk-taking in individuals with ADHD. When it comes to risk-taking related to gambling, both groups take risks only according to their expectations of benefits, not their perceptions of risk. The study provides outputs that can contribute to the literature in terms of the effects of ADHD diagnosis on financial decision-making processes in the context of risk-taking.","PeriodicalId":44559,"journal":{"name":"Review of Behavioral Finance","volume":"59 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-09-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134884038","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"The nexus between herding behavior and spillover: evidence from G7 and BRICS","authors":"Sarra Gouta, Houda BenMabrouk","doi":"10.1108/rbf-01-2023-0016","DOIUrl":"https://doi.org/10.1108/rbf-01-2023-0016","url":null,"abstract":"Purpose This study aims at exploring the nexus between herding behavior and the spillover effect in G7 and BRICS stock markets. Design/methodology/approach The authors used the dynamic connectedness approach TVP-VAR model of Antonakakis et al. (2019) to capture the spillovers across different markets. Moreover, to explore herding behavior, the authors used a modified version of the CSAD measure of Chang et al . (2000) including extreme market movements. Finally, to study the link between these two phenomena, the authors estimated a DCC-GARCH model. Findings The results show that herding behavior exists in the American market and some BRICS markets. Furthermore, spillover between G7 and BRICS increases in times of crisis. Moreover, the authors find a dynamic conditional correlation between herding behavior and spillovers both in the short and long run. The authors conclude that in times of crisis, the transmission of shocks between markets is more frequent, fuelling uncertainty and pushing investors to suppress their own beliefs and follow the general market trends. Originality/value This paper uses the TVP-VAR model to explore the spillover effect and the DCC-GARCH model to explore the connectedness between herding behavior and the spillover effect in G7 and BRICS countries in both the short and long run.","PeriodicalId":44559,"journal":{"name":"Review of Behavioral Finance","volume":"46 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-09-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135014154","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Herding and Google search queries in the Brazilian stock market","authors":"Jeferson Carvalho, Paulo Vitor Jordão da Gama Silva, M. Klotzle","doi":"10.1108/rbf-12-2022-0296","DOIUrl":"https://doi.org/10.1108/rbf-12-2022-0296","url":null,"abstract":"PurposeThis study investigates the presence of herding in the Brazilian stock market between 2012 and 2020 and associates it with the volume of searches on the Google platform.Design/methodology/approachFollowing methodologies are used to investigate the presence of herding: the Cross-Sectional Standard Deviation of Returns (CSSD), the Cross-Sectional Absolute Deviation (CSAD) and the Cross-Sectional Deviation of Asset Betas to the Market.FindingsMost of the models detected herding. In addition, there was a causal relationship between peaks in Google search volumes and the incidence of herding across the whole period, especially in 2015 and 2019.Originality/valueThis study suggests that confirmation bias influences investors' decisions to buy or sell assets.","PeriodicalId":44559,"journal":{"name":"Review of Behavioral Finance","volume":"42 1","pages":""},"PeriodicalIF":2.0,"publicationDate":"2023-09-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"80201652","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Can virtual reality nudge toward green investing? An experiment with small business entrepreneurs","authors":"A. Vassilopoulos, Lydia Papadaki, P. Koundouri","doi":"10.1108/rbf-01-2023-0005","DOIUrl":"https://doi.org/10.1108/rbf-01-2023-0005","url":null,"abstract":"PurposeStorytelling through virtual reality (VR) combines the strengths of cutting-edge technology with traditional informational campaigns. As a tool for climate change mitigation, VR has been shown to educate individuals and stimulate both emotional and cognitive responses that promote pro-environmental behavior. This paper aims to investigate whether these benefits extend to the field of green investing through an experiment conducted with a sample of small business entrepreneurs.Design/methodology/approachThe experimental design involved making choices between bonds varying in maturity dates, annual interest and environmental classification (regular versus green). To identify potential impacts of the immersive experience on investment decisions, these choices were made both before and after exposure to VR videos illustrating the devastating effects of climate change. A multiple price list was employed to elicit subjects' risk preferences, enabling the joint estimation of the treatment effect and the risk and time preference parameters. FindingsThe findings indicate that, when risk and time preference parameters are controlled for, a VR experience can nudge toward green investment choices. This effect is more profound among those who already exhibit a greater propensity to opt for green investments.Originality/valuePrevious research shows that negative emotions, such as guilt, affect pro-environmental intentions, as well as actions, while message vividness through immersive experiences is effective in nudging greener behavior. Since analogous results in the framework of financial investments are not currently available, this paper seeks to test whether VR videos depicting the adverse effects of climate change can generate negative emotions associated with experiencing these effects and make them salient in subsequent investment decisions made by small business entrepreneurs.","PeriodicalId":44559,"journal":{"name":"Review of Behavioral Finance","volume":"4 1","pages":""},"PeriodicalIF":2.0,"publicationDate":"2023-08-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"79521250","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Are small waves fondle and big waves overturn? Market reaction and corporate governance during four COVID-19 waves","authors":"Imen Khanchel, Naima Lassoued","doi":"10.1108/rbf-02-2023-0054","DOIUrl":"https://doi.org/10.1108/rbf-02-2023-0054","url":null,"abstract":"PurposeThis study examines the effects of corporate governance on market returns during the first four waves of the COVID-19 crisis.Design/methodology/approachEvent study and linear regression methods were applied on a sample of 293 US firms.FindingsThe results show that differences in abnormal returns are more significant during the second wave of COVID-19 and the two following waves. Moreover, estimations show that good corporate governance alleviated the effect of COVID-19 during the second wave and the two following waves. However, corporate governance did not affect abnormal returns during the first wave. Furthermore, evidence highlights that the effect of corporate governance is more observed in the industries most affected by COVID-19 than in the least affected industries.Originality/valueMany studies have attempted to investigate the effect of corporate governance on stock returns during the first wave of the pandemic. However, to the authors' knowledge, this is the first study that focuses on different waves that occurred during 2020 and 2021.","PeriodicalId":44559,"journal":{"name":"Review of Behavioral Finance","volume":"40 1","pages":""},"PeriodicalIF":2.0,"publicationDate":"2023-08-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"80137276","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Do heuristics affect Brazilian investors’ decision-making process?","authors":"Virgílio Vasconcelos Souza, Lucas Lopes Ferreira Souza, Oderlene Oliveira, Elnivan Moreira de Souza, Juliana Silva Costa","doi":"10.1108/rbf-09-2022-0210","DOIUrl":"https://doi.org/10.1108/rbf-09-2022-0210","url":null,"abstract":"<h3>Purpose</h3>\u0000<p>The purpose of this research is to analyze the influence of heuristics on Brazilian investors' behavior in the decision-making process.</p><!--/ Abstract__block -->\u0000<h3>Design/methodology/approach</h3>\u0000<p>The authors apply the partial least squares structural equation modeling methodology. This sample is composed of 220 investors.</p><!--/ Abstract__block -->\u0000<h3>Findings</h3>\u0000<p>The heuristics of overconfidence and anchoring positively influence investors' decision-making, while loss aversion negatively influences it. The herd effect exhibits no influence. The results also support the idea that decision-making positively influences investors' performance. Investors feel secure in their attitudes regarding financial decision-making, even if their decisions are not always rational as they are affected by biases.</p><!--/ Abstract__block -->\u0000<h3>Originality/value</h3>\u0000<p>This article explains the influence of heuristics on investors' decision-making and performance in the Brazilian context during the COVID-19 pandemic.</p><!--/ Abstract__block -->","PeriodicalId":44559,"journal":{"name":"Review of Behavioral Finance","volume":"26 1","pages":""},"PeriodicalIF":2.0,"publicationDate":"2023-07-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138516711","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Guest editorial: Special issue based on papers presented at the Behavioural Finance Working Group Conference in June 2021","authors":"R. Hudson","doi":"10.1108/rbf-05-2023-307","DOIUrl":"https://doi.org/10.1108/rbf-05-2023-307","url":null,"abstract":"","PeriodicalId":44559,"journal":{"name":"Review of Behavioral Finance","volume":"8 1","pages":""},"PeriodicalIF":2.0,"publicationDate":"2023-06-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"78096393","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Investigating macro herd behaviour: evidence from publicly traded German companies","authors":"Sándor Erdős, Patrik László Várkonyi","doi":"10.1108/rbf-03-2023-0061","DOIUrl":"https://doi.org/10.1108/rbf-03-2023-0061","url":null,"abstract":"PurposeThe purpose of this study is to examine herd behaviour under different market conditions, examine the potential impact of the firm size and stock characteristics on this relationship, and explore how herding affects market prices in the German market.Design/methodology/approachThe authors apply a method that does not rely on theoretical models, thus eliminating the biases inherent in their application. This technique is based on the assumption that macro herding manifests itself in the synchronicity (comovement) of stock returns.FindingsThe study’s findings show that herding is more pronounced in down markets and is more pronounced when market returns reach extreme levels. Additionally, the authors have found that there is stronger herding among large companies compared to small companies, and that stock characteristics considered have no effect on the degree of macro herding. Results also suggest that the contemporaneous market-wide information drives macro herding and that macro herding facilitates the incorporation of market-wide information into prices.Practical implicationsThe study’s results strongly support the idea of directional asymmetry, which holds that stocks react quickly to negative macroeconomic news while small stocks react slowly to positive macroeconomic news. Additionally, the study’s results suggest that the contemporaneous market-wide information drives macro herding and that macro herding facilitates the rapid incorporation of market-wide information into prices.Originality/valueTo the best of the researchers’ knowledge, this is the first study that examines macro herding for a major financial market using a herding measure based on the co-movement of returns that does not rely on theoretical models.","PeriodicalId":44559,"journal":{"name":"Review of Behavioral Finance","volume":"19 1","pages":""},"PeriodicalIF":2.0,"publicationDate":"2023-06-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"74421042","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}