A note on institutional hierarchy and volatility in financial markets
comunitat-uji-handle:10234/9
comunitat-uji-handle2:10234/8643
comunitat-uji-handle3:10234/8644
comunitat-uji-handle4:
INVESTIGACIONAquest recurs és restringit
http://dx.doi.org/10.1080/1351847X.2011.601871 |
Metadades
Títol
A note on institutional hierarchy and volatility in financial marketsData de publicació
2012Editor
Taylor & FrancisISSN
1351-847X; 1466-4364Cita bibliogràfica
S. Alfarano , M. Milakovi & M. Raddant (2013) A note on institutional hierarchy and volatility in financial markets, The European Journal of Finance, 19:6, 449-465, DOI: 10.1080/1351847X.2011.601871Tipus de document
info:eu-repo/semantics/articleVersió de l'editorial
http://www.tandfonline.com/doi/abs/10.1080/1351847X.2011.601871#.Udu0D-Ae5OZParaules clau / Matèries
Resum
From a statistical point of view, the prevalence of non-Gaussian distributions in financial returns and their volatilities shows that the Central Limit Theorem (CLT) often does not apply in financial markets. In this ... [+]
From a statistical point of view, the prevalence of non-Gaussian distributions in financial returns and their volatilities shows that the Central Limit Theorem (CLT) often does not apply in financial markets. In this article, we take the position that the independence assumption of the CLT is violated by herding tendencies among market participants, and investigate whether a generic probabilistic herding model can reproduce non-Gaussian statistics in systems with a large number of agents. It is well known that the presence of a herding mechanism in the model is not sufficient for non-Gaussian properties, which crucially depend on the details of the communication network among agents. The main contribution of this article is to show that certain hierarchical networks, which portray the institutional structure of fund investment, warrant non-Gaussian properties for any system size and even lead to an increase in system-wide volatility. Viewed from this perspective, the mere existence of financial institutions with socially interacting managers contributes considerably to financial volatility. [-]
Publicat a
The European Journal of Finance, Volume 19, Issue 6, 2013Drets d'accés
© Taylor & Francis
http://journalauthors.tandf.co.uk/preparation/copyright.asp
info:eu-repo/semantics/restrictedAccess
http://journalauthors.tandf.co.uk/preparation/copyright.asp
info:eu-repo/semantics/restrictedAccess
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