Dynamic Herding Behavior in Pacific-Basin Markets: Evidence and Implications
Multinational Finance Journal, 2013, vol. 17, no. 3/4, pp. 165-200
38 Pages Posted: 14 Jun 2013 Last revised: 27 Nov 2014
Date Written: June 13, 2013
This study examines investor herding behavior in Pacific-Basin equity markets. Results indicate that the level of herding is time-varying, and is present in both rising and falling markets. It is positively related to stock market performance, but negatively related to market volatility. Herding estimates across markets are positively correlated, signifying comovement of herding behavior in the region. The findings suggest that tests for herding should consider its dynamic behavior.
Keywords: Herding behavior, Stock return dispersion, Kalman filter, Nonlinearity, Pacific-Basin markets
JEL Classification: G15, G14
Suggested Citation: Suggested Citation