This article studies the herding effect in the capital markets. Using data from the Italian Stock Exchange, the authors test for the presence of herding as described in Christie and Huang [1995], Chang, Cheng, and Khorana [2000], and Hwang and Salmon [2001]. The tests support Christie and Huang's conclusions that herding is present in extreme market conditions.
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Caparrelli et al. (2004) studied this question.
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