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Herd Behavior of Returns in the Futures Exchange Market

Kyungsik Kim·Seong-Min Yoon·Yup Kim
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Abstract

The herd behavior of returns is investigated in Korean futures exchange market. It is obtained that the probability distribution of returns for three types of herding parameter scales as a power law $R^{-β}$ with the exponents $ β=3.6$(KTB203) and 2.9(KTB209) in two kinds of Korean treasury bond. For our case since the active state of transaction exists to decrease lesser than the herding parameter $h=2.33$, the crash regime appears to increase in the probability with high returns values. Especially, we find that it shows a crossover toward a Gaussian probability function near the time step $Δt=360$ from the distribution of normalized returns. Our result will be also compared with other well-known results.

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Kyungsik Kim, Seong-Min Yoon, Yup Kim. 2003-04-09. Herd Behavior of Returns in the Futures Exchange Market. https://arxiv.org/abs/cond-mat/0304143

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