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Keywords: Extreme movements
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Journal Articles
Journal:
Review of Behavioral Finance
Review of Behavioral Finance (2024) 16 (2): 360–377.
Published: 19 September 2023
..., Ben Mabrouk and Fakhfekh, 2013 ; BenMabrouk, 2018 ; among others) we hypothesize that herding is more frequent during periods of extreme market volatility (high and low). We use 1 and 5% of the observations at the up and down of the distribution of returns, respectively, to detect extreme movements...
