Hello good day,
I am wondering how I should go about conducting a binomial test on financial herding ratios that have been calculated using the following code:
data a (drop = market buyer seller tdate);
set TMP1.ttsetrades(where = (market = 'First Tier'));
timePeriod = intnx("WEEK", tdate, 0);
format timePeriod date9.;
run;
proc sort data=a;
by ticker timePeriod client;
run;
data b(drop=tvol sign);
do until (last.client);
set a;
by ticker timePeriod client;
stvol = sum(stvol, tvol*sign);
end;
run;
data herding(keep=timePeriod ticker buyingClients totalClients herding);
buyingClients = 0; totalClients = 0;
do until(last.timePeriod);
set b;
by ticker timePeriod;
buyingClients + (stvol > 0);
totalClients + (stvol ne 0);
end;
herding = buyingClients/totalClients;
run;
I came across an article that utilised the binomial testing to indicate whether the herding ratios found were statistically significant in indicating buy/sell herding within a stock.
The authors of the article infer that herding was "associated to the observation of a high value or low value of h by evaluating the probability to observe a number of buying firms equal or larger than the empirically detected one under the binomial null hypothesis." (Lillo et al. 2008)
They tested using a significance level of 5%, ratios that generated probability values less that 5% were inferred to indicate herding.
My research thus far in binomial testing has led me to the following code, if binomial testing on the ratios is possible can you tell me if the code below is correct, thanks.
proc freq data=herding;
tables Herding / Binomial (p=0.50) alpha=0.05;
exact binomial;
weight freq;
run;
