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

See all articles by Thomas Chinan Chiang

Thomas Chinan Chiang

Drexel University - Department of Finance

Jiandong Li

Central University of Finance and Economics

Lin Tan

California State Polytechnic University, Pomona

Edward Nelling

Drexel University - Department of Finance

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Date Written: June 13, 2013

Abstract

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

Chiang, Thomas C. and Li, Jiandong and Tan, Lin and Nelling, Edward F., Dynamic Herding Behavior in Pacific-Basin Markets: Evidence and Implications (June 13, 2013). Multinational Finance Journal, 2013, vol. 17, no. 3/4, pp. 165-200, Available at SSRN: https://ssrn.com/abstract=2278979

Thomas C. Chiang

Drexel University - Department of Finance ( email )

32nd & Chestnut Streets
Philadelphia, PA 19104
United States
215-895-1745 (Phone)

Jiandong Li

Central University of Finance and Economics ( email )

Beijing, Beijing
China
62288469 (Phone)

Lin Tan

California State Polytechnic University, Pomona ( email )

3801 W. Temple Avenue
Pomona, CA 91768
United States

Edward F. Nelling (Contact Author)

Drexel University - Department of Finance ( email )

LeBow College of Business
Philadelphia, PA 19104
United States
215.895.2117 (Phone)
215.895.2955 (Fax)

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