دانلود رایگان مقاله گردآوری سرمایه گذار بازار اوراق قرضه

Abstract

During the recent financial crisis, numerous EU officials, market participants and the media suggested that irrational herding was a key factor for the financial turmoil and the soaring yield spreads. In this paper we test for evidence of herd behavior in European government bond prices and, overall, we find no evidence of investor herding either before or after the EU crisis. We do find, however, in an original contribution to the bond market literature, strong evidence that during the EU crisis period, macroeconomic information announcements induced bond market investor herding; a finding that confirms the notion of ‘spurious’ herding proposed by Bikhchandani and Sharma (2001) for bond markets. Further tests reinforce this finding and also indicate the existence of herding spill-over effects.

6. Conclusion

This paper tests and provides original evidence on herd behavior in European government bond prices. We utilize a commonly employed methodology to test for return clustering and, overall, we find no evidence of investor herding either before or after the EU crisis. Further tests indicate that during the EU crisis period macroeconomic information induces bond market investor herding. These findings are in sharp contrast to the popular belief that irrational investor herding intensified the recent EU crisis and was to some extent responsible for the spreads soaring. Our evidence supports the notion of ‘spurious’ herding (i.e., herding motivated by changes in fundamentals, see Bikhchandani & Sharma, 2001). Further tests reveal that during the recent financial crisis there were indeed herding spill-over effects running, however, with a direction from the European countries with no financial difficulties (Northern European markets) to the financially troubled European markets (Southern European markets).