Herding Behaviors in ASEAN Stock Markets

Journal of Economics and Management Strategy, Vol. 6, No. 1 (2019)

16 Pages Posted: 2 Oct 2019

See all articles by Jian Yao

Jian Yao

Assumption University, Martin de Tours School of Management and Economics, Philosophy in Business Administration, Students

Nopphon Tangjitprom

Thammasat University - College of Innovation

Date Written: January 29, 2019

Abstract

This paper aims to use comprehensive evidence to test the herding behaviors existing in 6 ASEAN stock markets, including Indonesia, Malaysia, the Philippines, Singapore, Thailand, and Vietnam. The paper used a survivor-bias-free dataset of daily stock returns during the period January 1, 2009 to June 30, 2016 to measure the results. The empirical results from the 6 ASEAN stock markets showed that herding behavior has existed only in Vietnam, and Vietnam own significant herding behavior during different asymmetric market conditions. We also found evidence to show the significant role of U.S. return dispersions in the ASEAN stock market; however, the U.S. stock market cannot affect the herding formation of each ASEAN stock market.

Keywords: Herding Behavior, Cross-sectional Absolute Deviation, ASEAN Stock Markets

JEL Classification: G4, G14

Suggested Citation

Yao, Jian and Tangjitprom, Nopphon, Herding Behaviors in ASEAN Stock Markets (January 29, 2019). Journal of Economics and Management Strategy, Vol. 6, No. 1 (2019), Available at SSRN: https://ssrn.com/abstract=3456583

Jian Yao (Contact Author)

Assumption University, Martin de Tours School of Management and Economics, Philosophy in Business Administration, Students

Thailand

Nopphon Tangjitprom

Thammasat University - College of Innovation ( email )

Bangkok, 10200
Thailand

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