Working Paper

Comparing behavioural heterogeneity across asset classes

Author: Saskia ter Ellen, Cars H. Hommes and Remco C.J. Zwinkels
Series: Working Paper
Number: 12/2017

Working Paper 12/2017 (PDF 2.3 Mb)

Abstract:

We estimate a generic agent-based model in which agents have heterogeneous beliefs about the future price to see to what extent behaviour differs across assets, and what this implies for market stability. We find evidence for behavioural heterogeneity for all asset classes, except for equities. Heterogeneity is especially pronounced for macro-economic variables. Agents update their beliefs frequently in financial markets, and only gradually in the case of macro-economic variables. Consequently, we find that the probability of behavioural bubbles is substantially higher for the macro-economic variables than for financial assets.

Published 3 July 2017 13:03