Herding in financial markets

Abstract

Our approach in this paper is to analyse investment behaviour, primarily by focusing on their propensity to exhibit herd behaviour. For this, we will use the Nasdaq index. We will be looking at if the proposed index reflects the behaviour of the agents and which dynamic can be explained by the Kirman model. For this, we will create an opinion index and compare with a beta distribution. While assessing our index, the use of statistical methods shows that we can receive an intriguing and useful explanation of various stylised facts of financial markets.