I am currently calculating herd behavior on the trading platform "Robinhood" and I am using the herd measure proposed by Lakonishok et al. (1992):
The herding measure is given by H(i) = |B(i)/(B(i) + S(i)) - p(t)| - AF(i)
Array
But I am having trouble estimating the AF(i) meassurement, as I understand it is a bernoulli distribution but how is that done in stata? I have searched FAQ and help in stata but I cannot locate how to do this.
Below is an example of my data:
Code:
* Example generated by -dataex-. For more info, type help dataex clear input double date str8 TICKER str4 sic float users double(outstanding trade adj price) float(diff_users b s p) 21306 "A" "3826" 590 322477000 2061403 1 65.91 0 0 0 0 21307 "A" "3826" 587 322477000 2225841 1 66.34 -4 1 5 6 21308 "A" "3826" 588 322477000 1331017 1 67 1 1 0 1 21311 "A" "3826" 586 322477000 1424232 1 67.39 -2 0 2 2 21312 "A" "3826" 577 322477000 1668093 1 67.37 -9 5 14 19 21313 "A" "3826" 581 322477000 2107489 1 68.13 4 5 1 6 21314 "A" "3826" 583 322477000 1825105 1 68.86 2 2 0 2 21315 "A" "3826" 596 322477000 1523673 1 69.45 13 16 3 19 21318 "A" "3826" 662 322477000 3297035 1 69.21 66 88 22 110 21319 "A" "3826" 910 322477000 14450240 1 62.5 248 360 112 472 21320 "A" "3826" 1187 322477000 5636249 1 61.94 276 328 52 380 21321 "A" "3826" 1225 322477000 5211171 1 63.59 39 57 18 75 21322 "A" "3826" 1147 322477000 4163534 1 64.32 -79 32 111 143 21325 "A" "3826" 1083 322477000 4287339 1 65.55 -64 17 81 98 21326 "A" "3826" 1001 322477000 3415567 1 64.84 -81 48 129 177 21327 "A" "3826" 940 322477000 3222445 1 64.53 -62 17 79 96 21328 "A" "3826" 922 322477000 1525770 1 64.12 -18 2 20 22 21329 "A" "3826" 906 322477000 1742002 1 63.15 -16 8 24 32 21333 "A" "3826" 904 322477000 3558198 1 61.85 -2 1 3 4 21334 "A" "3826" 910 322477000 1731382 1 62.69 6 8 2 10 21335 "A" "3826" 906 322477000 2465067 1 61.92 -4 3 7 10 21336 "A" "3826" 895 319952000 2200075 1 62.78 -11 3 14 17 21339 "A" "3826" 883 319952000 1957437 1 63.38 -13 1 14 15 21340 "A" "3826" 875 319952000 1889410 1 63.52 -7 2 9 11 21341 "A" "3826" 862 319952000 3177630 1 65.19 -13 9 22 31 21342 "A" "3826" 828 319952000 2955175 1 65.23 -34 17 51 68 21343 "A" "3826" 813 319952000 3639261 1 65.73 -15 1 16 17 21346 "A" "3826" 797 319952000 2922538 1 66.13 -17 9 26 35 21347 "A" "3826" 780 319952000 2001230 1 66.32 -17 6 23 29 21348 "A" "3826" 776 319952000 3559516 1 66.26 -4 2 6 8 21349 "A" "3826" 768 319952000 3458414 1 66.31 -8 5 13 18 21350 "A" "3826" 758 319952000 4113230 1 66.13 -10 1 11 12 21353 "A" "3826" 751 319952000 2563129 1 64.97 -8 3 11 14 21354 "A" "3826" 751 319952000 4615586 1 63.52 0 0 0 0 21355 "A" "3826" 753 319952000 4941764 1 62.79 2 3 1 4 21356 "A" "3826" 752 319952000 4035457 1 63.04 0 0 0 0 21357 "A" "3826" 747 319952000 3259875 1 62.79 -5 1 6 7 21360 "A" "3826" 742 319952000 2417981 1 61.2 -5 3 8 11 21361 "A" "3826" 739 319952000 3628129 1 61.98 -3 2 5 7 21362 "A" "3826" 739 319952000 2025823 1 61.14 0 0 0 0 21363 "A" "3826" 765 319952000 1564067 1 61.29 26 38 12 50 21364 "A" "3826" 818 319952000 1913844 1 61.84 52 63 11 74 21367 "A" "3826" 838 319952000 1526468 1 61.47 21 31 10 41 21368 "A" "3826" 841 319952000 864379 1 61.25 3 4 1 5 21370 "A" "3826" 834 319952000 2247532 1 61.8 -6 3 9 12 21371 "A" "3826" 827 319952000 2269660 1 62.29 -8 5 13 18 21374 "A" "3826" 819 319952000 1504576 1 63.12 -8 4 12 16 21375 "A" "3826" 811 319952000 1922950 1 63.67 -8 1 9 10 21376 "A" "3826" 808 319952000 1779797 1 62.86 -4 2 6 8 21377 "A" "3826" 801 319952000 1748125 1 63.45 -7 0 7 7 21378 "A" "3826" 791 319952000 963652 1 63.38 -9 5 14 19 21381 "A" "3826" 791 319952000 929264 1 62.72 0 0 0 0 21382 "A" "3826" 786 319952000 1469490 1 63.04 -5 3 8 11 21383 "A" "3826" 777 319952000 1201916 1 62.99 -9 4 13 17 21384 "A" "3826" 770 319952000 1726698 1 64.15 -7 2 9 11 21385 "A" "3826" 761 319952000 1619850 1 63.85 -9 1 10 11 21388 "A" "3826" 757 319952000 1413868 1 63.72 -4 2 6 8 21389 "A" "3826" 752 319952000 2454378 1 64.79 -5 1 6 7 21390 "A" "3826" 742 319952000 2925788 1 65.96 -11 2 13 15 21391 "A" "3826" 733 319952000 2583376 1 66.75 -9 4 13 17 21392 "A" "3826" 725 319952000 2638902 1 65.75 -8 4 12 16 21395 "A" "3826" 720 319952000 1588719 1 64.63 -6 4 10 14 21396 "A" "3826" 713 319952000 2537170 1 66.04 -7 3 10 13 21397 "A" "3826" 712 319952000 2679180 1 64.98 0 0 0 0 21398 "A" "3826" 713 319952000 2263190 1 65.29 1 1 0 1 21399 "A" "3826" 715 319952000 1857308 1 65.73 2 2 0 2 21402 "A" "3826" 714 319952000 2873080 1 66.51 -1 0 1 1 21403 "A" "3826" 707 319952000 2829039 1 67.66 -7 1 8 9 21404 "A" "3826" 700 319952000 1681850 1 67.38 -7 3 10 13 21406 "A" "3826" 724 319952000 2165669 1 66.26 24 29 5 34 21409 "A" "3826" 761 319952000 2983080 1 65.94 37 54 17 71 21410 "A" "3826" 794 319952000 3104939 1 66.75 34 45 11 56 21411 "A" "3826" 844 319952000 6071456 1 64.73 50 58 8 66 21412 "A" "3826" 790 319952000 3149457 1 65.5 -54 16 70 86 21413 "A" "3826" 766 319952000 2449200 1 64.66 -24 0 24 24 21416 "A" "3826" 755 319952000 1616049 1 64.47 -11 5 16 21 21417 "A" "3826" 752 319952000 2982592 1 64.93 -2 0 2 2 21418 "A" "3826" 743 319952000 2565558 1 65.65 -9 1 10 11 21419 "A" "3826" 732 319952000 2284920 1 65.69 -11 1 12 13 21420 "A" "3826" 720 319952000 1904191 1 65.98 -13 2 15 17 21423 "A" "3826" 715 319952000 1158772 1 66.08 -5 1 6 7 21424 "A" "3826" 713 319952000 2284317 1 66.69 -1 0 1 1 21425 "A" "3826" 709 319952000 1849586 1 67.01 -5 0 5 5 21426 "A" "3826" 708 319952000 2246300 1 67.26 0 0 0 0 21427 "A" "3826" 707 318770000 1564248 1 67.54 -2 0 2 2 21431 "A" "3826" 699 318770000 1725279 1 67.27 -7 2 9 11 21432 "A" "3826" 696 318770000 1859604 1 66.96 -3 0 3 3 21433 "A" "3826" 691 318770000 1025754 1 67.36 -4 1 5 6 21434 "A" "3826" 691 318770000 1585323 1 67.4 0 0 0 0 21437 "A" "3826" 691 318770000 2065570 1 67.93 0 0 0 0 21438 "A" "3826" 692 318770000 1676678 1 67.62 1 1 0 1 21439 "A" "3826" 688 318770000 1121733 1 67.91 -4 3 7 10 21440 "A" "3826" 683 318770000 2489811 1 69.33 -5 3 8 11 21441 "A" "3826" 679 318770000 1442990 1 68.85 -5 3 8 11 21444 "A" "3826" 683 318770000 1816610 1 69.08 4 5 1 6 21445 "A" "3826" 689 318770000 1780417 1 68.93 7 10 3 13 21446 "A" "3826" 688 318770000 1183392 1 69.56 -1 0 1 1 21447 "A" "3826" 688 318770000 2865626 1 71.13 0 0 0 0 21448 "A" "3826" 687 318770000 3118266 1 70.72 -1 0 1 1 21451 "A" "3826" 689 318770000 2330150 1 69.95 2 3 1 4 end format %td date
Listed 100 out of 466334 observations
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Thank you very much in advance!
Best regards
Mathias Sorensen
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