Does Herding Exist in Lottery Stocks? Evidence From the Indian Stock Market

Applied Finance Letters, 9, 2-10, 2020

9 Pages Posted: 11 Mar 2020

See all articles by Aleem Ansari

Aleem Ansari

Aligarh Muslim University (AMU), Faculty of Management Studies and Research, Students

Tariq Aziz

Aligarh Muslim University (AMU), Faculty of Management Studies and Research, Students

Valeed Ahmad Ansari

Aligarh Muslim University (AMU) - Department of Business Administration

Date Written: February 12, 2020

Abstract

In this paper, we investigate the presence of herd behaviour among lottery stocks using Max, skewness and idiosyncratic volatility in the Indian stock market during the period January 2000 to December 2018. We demonstrate that the herd behaviour is non-existent across proxies of lottery-stocks MAX and skewness and find that the herd behaviour is present among highly idiosyncratic stocks. This sheds light on why herding is not detected in the prior studies as it may be concentrated among stocks with certain characteristics. Further, it provides evidence of adverse herding.

Keywords: Lottery stocks; herding

JEL Classification: G14

Suggested Citation

Ansari, Aleem and Aziz, Tariq and Ansari, Valeed Ahmad, Does Herding Exist in Lottery Stocks? Evidence From the Indian Stock Market (February 12, 2020). Applied Finance Letters, 9, 2-10, 2020 , Available at SSRN: https://ssrn.com/abstract=3536725

Aleem Ansari (Contact Author)

Aligarh Muslim University (AMU), Faculty of Management Studies and Research, Students ( email )

India

Tariq Aziz

Aligarh Muslim University (AMU), Faculty of Management Studies and Research, Students ( email )

India

Valeed Ahmad Ansari

Aligarh Muslim University (AMU) - Department of Business Administration ( email )

Aligarh
India

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