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The web page of the project "The herding behavior on financial markets: a game theoretical approach and empirical evidence"

PN-II-RU-TE-2014-4-1827


Financing institution: UEFISCDI (Executive Unit for Financing Higher Education, Research, Development and Innovation) / Ministry of Education and Scientific Research

Project code: PN-II-RU-TE-2014-4-1827

Number of the financing contract: 289 from 01/10/2015

Project title: "The herding behavior on financial markets: a game theoretical approach and empirical evidence"

Project description (abstract): This project is designed to address one of the most significant behavioral biases, if considering its impact on market efficiency and asset pricing. Our aim is to primarily investigate the incidence and dynamic of herding behavior on European stock markets and to assess its impact on market volatility. This preliminary investigation will be then followed by the construction of a game theoretical informational herding model. More specifically, our objectives are systematized as follows:

  1. The empirical investigation of herding behavior for individual and institutional investors
  2. The assessment of the impact of herding behavior on stock market volatility
  3. The design of a game theoretical model for herding behavior

Research team:

  • Angela FILIP
  • Cristian LITAN (director)
  • Andreea PECE
  • Miruna POCHEA
  • Anita PLEȘOIANU
  • Adrian ZOICAȘ-IENCIU

Expected results:

  1. Each member of the project will attend at least two international conferences over the entire period (one conference/year) with a special emphasis on choosing relevant conferences abroad.
  2. Our objective is to publish at least two scientific papers indexed in relevant ISI journals and four papers indexed in highly visible BDI journals published by Taylor and Francis, Willey, etc.
  3. The organization of a workshop covering theoretical and empirical results related with priority to herding behavior, game theory, behavioral finance, stock markets.

Activity reports:

For year 2015 here.

For year 2016 here (only Romanian version).

For year 2017 here (only Romanian version).


Results:

Year 2015:

    Paper draft “Trading timing and the returns to technical analysis” (Adrian ZOICAȘ-IENCIU)

    Paper draft “Testing herding behavior in CEE Countries: a quantile regression analysis” (Angela Maria FILIP, Andreea Maria PECE, Maria Miruna POCHEA)

Year 2016:

    ISI articles (accepted for publication after a revision in 2016):

    Article “Testing financial markets convergence in Central and Eastern Europe: A non-linear single factor model” (Mihai NIȚOI, Maria Miruna POCHEA), Economic Systems (Elsevier), vol. 40 (2), 2016, pg. 323-334, link.

    Article “Productivity clustering and growth in Central and Eastern Europe” (Mihai NIȚOI, Maria Miruna POCHEA), Baltic Journal of Economics (Taylor & Francis), vol. 16 (2), 2016, pg. 132-151, link.

    Articles in journals indexed in international databases (submitted and accepted for publication in 2016):

    Article “Investors sentiment and stock performance” (Andreea Maria PECE, Angela Maria FILIP, Maria Miruna POCHEA), Theoretical and Applied Economics, Supplement TAE – Special Issue International Finance and Banking Conference FIBA 2016 (XIV), pg. 63-69, link.

    Article “Testing investors’ herding behavior in Baltic states” (Maria Miruna POCHEA), Review of Economic Studies and Research Virgil Madgearu, vol. IX (2), 2016, pg. 137-153, link.

    Article “How technical is technical analysis?” (Adrian ZOICAȘ-IENCIU), Review of Economic Studies and Research Virgil Madgearu, vol. IX (2), 2016, pg. 155-171, link.

    Working papers (some of them are under review):

    “Herding behavior in CEE stock markets under asymmetric conditions: a quantile regression analysis” (Maria Miruna POCHEA, Angela Maria FILIP, Andreea Maria PECE)

    “Evidence of herding behavior at industry level in CEE stock markets” (Angela Maria FILIP, Andreea Maria PECE, Maria Miruna POCHEA)

    “Trading timing and the returns to technical analysis” (Adrian ZOICAȘ-IENCIU)

    “Long memory in returns and integration: the case of emergent stock markets” (Anita TODEA, Alexandru TODEA)

    “Generic finiteness of equilibrium distributions for bimatrix outcome game forms” (Cristian LITAN, Francisco MARHUENDA, Peter SUDHOLTER)

    “Review of the financial reporting versus the probability of fiscal control, under financial sophistication” (Cristian LITAN, Sorina VÂJU, Carmen BONACI)

    Participation to international conferences in the country and abroad:

    1.Investors sentiment and stock performance (authors: Filip Angela-Maria, Pece Andreea Maria, Pochea Maria Miruna), FIBA, 24-26 March 2016, București
    Participants: Pece Andreea Maria

    2.Trading timing and the returns to technical analysis (authors: Adrian Zoicaș-Ienciu), International Conference in Applied Theory, Macro and Empirical Finance, 6-7 May 2016, Salonic
    Participants: Adrian Zoicaș-Ienciu

    3.Generic finiteness of equilibrium distributions for bimatrix outcome game forms (authors: Cristian Litan, Francisco Marhuenda, Peter Sudholter), ERMAS, 1-3 August 2016, Timișoara
    Participants: Litan Cristian

    4.Herding behavior in CEE stock markets under asymetric conditions: a quantile regression analysis (authors: Filip Angela-Maria, Pece Andreea Maria, Pochea Maria Miruna), ERMAS, 1-3 August 2016, Timișoara
    Participants: Filip Angela-Maria, Pochea Maria Miruna

    5.Evidence of herding behavior at industry level in CEE stock markets (authors: Filip Angela-Maria, Pece Andreea Maria, Pochea Maria Miruna), International Scientific Conference Economic and Social Development, 20-21 October 2016, Warsaw
    Participants: Filip Angela-Maria, Pochea Maria Miruna

    6.Long memory in returns and integration: the case of emergent stock markets (authors: Todea Anita, Todea Alexandru), GEBA, 20-23 October 2016, Iași
    Participants: Todea Anita

    7.Review of the financial reporting versus the probability of fiscal control, under financial sophistication (authors: Cristian Litan, Sorina Vaju, Carmen Bonaci), GEBA, 20-23 October 2016, Iași
    Participants: Litan Cristian

    Summer schools:

    July 2016, University of Cagliari, Italy, "Summer School in Quantitative Economics", one-week course titled "Continuous-time Methods for Economics and Finance (W3-A)" (http://www.summerschoolscagliari.it/2016/07/economics/courses), taught by Mr. Galo Nuño from Bank of Spain.
    Participant: Litan Cristian Marius.

    Work visiting periods:

    November 2016, visiting period at University Carlos III de Madrid, Department of Economics (5 days). Important work visit for the discussions with prof. Francisco Marhuenda and prof. Emircan Yurdagul. As well, during the stay there was access to the books and databases of the library of the University Carlos III de Madrid.
    Participants: Filip Angela Maria, Litan Cristian Marius, Pochea Maria Miruna.

Year 2017:

    International workshop "Classical vs. Behavioral Approach in Economic Research", details here.

    ISI articles (accepted for publication after a revision in 2017):

    Article “Herding behavior in CEE stock markets under asymmetric conditions: a quantile regression analysis” (Maria Miruna POCHEA, Angela Maria FILIP, Andreea Maria PECE), Journal of Behavioral Finance (Taylor & Francis), IF: 0.576, SRI: 0.438, 2017, pg. 1-17, link.

    Working papers (some of them are under review):

    Article “Generic finiteness of equilibrium distributions for bimatrix outcome game forms” (Cristian LITAN, Francisco MARHUENDA, Peter SUDHOLTER), submitted, Annals of Operations Research

    Article “Evidence of herding behavior at industry level in CEE stock markets” (Angela Maria FILIP, Maria Miruna POCHEA, Andreea Maria PECE), submitted, Finance Research Letters

    Article “Co-movements and Contagion in European Union Stock Markets: Patterns and Determinants” (Mihai NIȚOI, Maria Miruna POCHEA), submitted, Journal of International Money and Finance

    Article “What drives trend-following profits?” (Adrian ZOICAȘ-IENCIU), submitted, Journal of Financial and Quantitative Analysis

    Article “ Trading timing and the returns to technical analysis” (Adrian ZOICAȘ-IENCIU), submitted, Applied Economics Letters

    Article “Review of the financial reporting versus the probability of fiscal control, under financial sophistication” (Cristian LITAN, Sorina VÂJU, Carmen BONACI)

    Article “Investors’ sentiment and herding behavior in developed European markets” (Angela Maria FILIP, Maria Miruna POCHEA, Andreea Maria PECE)

    Participation to international conferences in the country and abroad:

    1. Financial sophistication, review of the financial reporting and the probability of fiscal control (authors: Cristian LITAN, Sorina VÂJU, Carmen BONACI), Seminar Series at the Center for Accounting Research, 20 April 2017, University of Graz
    Participants: Cristian LITAN

    2. Evidence of herding behavior at industry level in CEE stock markets (authors: Angela Maria FILIP, Maria Miruna POCHEA, Andreea Maria PECE), ICIB 2017, 18-21 May 2017, Thessaloniki
    Participants: Angela Maria FILIP, Maria Miruna POCHEA

    3. Investors’ sentiment and herding behavior in developed European markets (authors: Angela Maria FILIP, Maria Miruna POCHEA, Andreea Maria PECE), 6th Business and Social Science Conference, 3-4 August 2017, Dubrovnik
    Participants: Angela Maria FILIP, Maria Miruna POCHEA

    4. Investors’ sentiment and herding behavior in developed European markets (authors: Angela Maria FILIP, Maria Miruna POCHEA, Andreea Maria PECE), 19th International Conference on Political and Behavioral Sciences, 14-15 August 2017, Venice
    Participants: Angela Maria FILIP, Maria Miruna POCHEA

    Summer schools:

    June 2017, Mons, Belgium, “Behavioral Finance : Investors, Capital Markets and Corporations”, (https://uclouvain.be/en/research-institutes/immaq/lfin/events/doctoral-course-in-behavioral-finance.html), taught by professor W. De Bondt (DePaul University, Chicago) during 21-23 June 2017.
    Participants: Maria Miruna POCHEA


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