Recent empirical research has documented asymmetric volatility and volatility clustering in stock markets. We conjecture that a limit of arbitrage due to a borrowing constraint and herding behavior by investors are related to these phenomena. This study conducts simulation analyses on a spin model where borrowing constrained agents imitate their nearest neighbors but switch their strategies to a different one intermittently. We show that herding matters for volatility clustering while a borrowing constraint intensifies the asymmetry of volatility through the herding effect.
|ジャーナル||Physica A: Statistical Mechanics and its Applications|
|出版物ステータス||Published - 2010 3 15|
ASJC Scopus subject areas
- Statistics and Probability
- Condensed Matter Physics