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Boyd, J.H., Hu, J. and Jagannathan, R. (2005) The Stock Market’s Reaction to Unemployment News: Why Bad News Is Usually Good for Stocks. The Journal of Finance, 60, 649-672.
https://doi.org/10.1111/j.1540-6261.2005.00742.x

has been cited by the following article:

  • TITLE: Herding Behavior in Futures Market: An Empirical Analysis from India

    AUTHORS: Ameet Kumar Banerjee, Purna Chandra Padhan

    KEYWORDS: Herding Behavior, Cross-Sectional Dispersion, Futures, Generalized Least Square

    JOURNAL NAME: Theoretical Economics Letters, Vol.7 No.4, June 22, 2017

    ABSTRACT: This study tries to explore the existence of herding behavior of investors in an entirely new asset class, futures, in Indian futures market. For empirical analysis, it uses data of exchanged traded equity futures contracts, a part of futures and options segment of National Stock Exchange (NSE, India) from January 2011 to June 2016. Applying generalized least squares (GLS) regression model, the study found supporting evidences for existence of herd behavior for the study period, especially during macroeconomic news releases, in periods of extremely low (high) trading volume and spillovers from other markets. This analysis of herd behavior is key in understanding the bandwagon effect of investors, which results in inefficient asset pricing. As a policy implication, it is highly relevant to regulatory institutions responsible for efficient functioning of the financial system.