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Project

Herd behavior index

Herd Behavior Index, HIX in short, is a model-free and forward-looking measure for determining the comonotonicity between stocks. HIX measures the degree of herd behavior in the stock market. In my future research, I will apply the HIX in the European stock market and test if there is a positive relationship between the HIX and straddle options' returns. Then I will go further to investigate if the investment strategy based on HIX exists and if it is profitable.

Date:20 Sep 2021 →  Today
Keywords:Comonotonicity, Herd behavior
Disciplines:Financial economics
Project type:PhD project