Does Herding Behavior Exist in the Mongolian Stock Market?

28 Pages Posted: 16 Jul 2020

See all articles by Munkh-Ulzii Batmunkh

Munkh-Ulzii Batmunkh

National University of Mongolia

Enkhbayar Choijil

National University of Mongolia

João Paulo Vieito

Scholl of Business Studies - Polytechnic Instituto of Viana do Castelo

Christian Espinosa Méndez

University of Santiago, Chile

Wing-Keung Wong

Asia University, Department of Finance

Date Written: May 30, 2020

Abstract

This investigation is among the first to examine the presence of herd behavior in the Mongolian stock market. Herding behavior was analyzed for the full sample data (1999 to 2019) including during bull and bear market periods, as well as high and low volatility states of markets. Additionally, the impact of four important events which occurred during these period were also tested: the establishment of the Finance Regulatory Committee of Mongolia (FRCM), the Global Financial Crises, Mongolia's inclusion in the FTSE Russell Watch list and economic boom in 2011. Using a cross-sectional absolute deviation (CSAD) model evidence of herding behavior was found in all the situations.

Keywords: Herding behavior, Mongolian stock market

JEL Classification: G15, G14

Suggested Citation

Batmunkh, Munkh-Ulzii and Choijil, Enkhbayar and Vieito, João Paulo and Méndez, Christian Espinosa and Wong, Wing-Keung, Does Herding Behavior Exist in the Mongolian Stock Market? (May 30, 2020). Pacific-Basin Finance Journal, Vol. 62, No. 101352, 2020, Available at SSRN: https://ssrn.com/abstract=3623176

Munkh-Ulzii Batmunkh

National University of Mongolia ( email )

IKH SURGUULIIN GUDAMJ-1 P.O.BOX -46A/523
14201
Mongolia
(+976) 77307730-1163 (Phone)

HOME PAGE: http://https://www.num.edu.mn/en/

Enkhbayar Choijil

National University of Mongolia ( email )

IKH SURGUULIIN GUDAMJ-1 P.O.BOX -46A/523
14201
Mongolia

João Paulo Vieito (Contact Author)

Scholl of Business Studies - Polytechnic Instituto of Viana do Castelo ( email )

Avenida Miguel Dantas
Valença, 4930
Portugal

Christian Espinosa Méndez

University of Santiago, Chile ( email )

Santiago
Chile

Wing-Keung Wong

Asia University, Department of Finance ( email )

Taiwan
Taiwan

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