An analysis of volatility and herd behavior among investors in the S&P500 stock market index, Bitcoin, and gold markets

Mohammad Qezelbash; Saeid Tajdini; Farzad Jafari; Majid Lotfi Ghahroud; Mohammad Farajnezhad

Volume 3, Issue 2 , December 2023, , Pages 77-92

  In recent years, cryptocurrency has attracted more attention and is a new option in the economy and the financial sector. The purpose of this study is to the volatility and “herd behavior” of the cryptocurrency, gold, and stock markets in the US. This research is aimed at investor “herd ...  Read More

Unusual behavior: Reversed Leverage Effect Bias

Saeid Tajdini; Farzad Jafari; Majid Lotfi Ghahroud

Volume 1, Issue 1 , March 2021, , Pages 77-88

  According to the literature on risk, bad news induces higher volatility than good news. Although parametric procedures used for conditional variance modeling are associated with model risk, this may affect the volatility and conditional value at risk estimation process either due to estimation or misspecification ...  Read More