Dynamic Herding Behavior in Pacific-Basin Markets: Evidence and Implications

Chiang, Thomas C.; Li, Jiandong; Tan, Lin; Nelling, Edward

doi:10.17578/17-3/4-3

Cited by 106 publications

(100 citation statements)

References 64 publications

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“…Given that an increase in VIX is associated with a rise in "fear" among investors in the US (it predicts higher volatility during the next 30 days), our findings indicate that herding in Ramadan in our sample markets is related to rising VIXvalues. The latter is reported for the first time in the literature and is in line with extant research (Chiang et al, 2013;Philippas et al, 2013) demonstrating the role of increasing VIX values in motivating herding internationally.…”

Section: [Table 6 About Here]supporting

confidence: 86%

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Investor Mood, Herding and the Ramadan Effect

Gavriilidis,

Kallinterakis,

Tsalavoutas

2015

SSRN Journal

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In view of evidence linking herding and social mood, we examine whether the positive mood documented during Ramadan translates into higher herding compared to non-Ramadan days.Drawing on a sample of seven majority Muslim countries, we report significant herding during Ramadan in most of our sample markets. Additionally, we show that herding appears significantly stronger within rather than outside Ramadan for most tests whereby its significance is manifested on both Ramadan-and non-Ramadan-days. Overall, herding significance within/outside Ramadan exhibits some variation in its levels across markets in relation to variables reflective of market states, both domestically (market returns; market volume) and internationally (US market returns; US investors' sentiment; global financial crisis) market states.

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Section: [Table 6 About Here]supporting

confidence: 86%

“…As such, higher levels of VIX would indicate higher uncertainty in the market. The relationship of the CBOE VIX and herding has been widely documented in the herding literature (Chiang et al, 2013;Philippas et al, 2013). 17 For more on the 2008 financial crisis see Ivashina & Scharfstein (2010).…”

Section: Datamentioning

confidence: 99%

Investor Mood, Herding and the Ramadan Effect

Gavriilidis,

Kallinterakis,

Tsalavoutas

2015

SSRN Journal

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“…Kassim 2008), Taiwan, China, South Korea, Singapore, Hong Kong, and Japan (Laih -Lau 2013), and China, Indonesia, Malaysia, and Thailand (Chiang et al 2013). …”

Section: Acta Oeconomica 65 (2015)mentioning

confidence: 99%

“…This is consistent with the assumption that herding behaviour presents an asymmetric reaction on days when the market is up vis-à-vis days when the market is down (Tan et al 2008;ChiangZheng 2010). Chiang et al (2013) debate that an asymmetry in herding between rising and falling markets may be caused by the flow of positive and negative information, and investors tend to herd when the market is trending up in most of the cases. Because of the up market, investors are likely to be more optimistic Notes: *, **, *** represent statistical significance at 10%, 5%, 1% levels, respectively.…”

Section: Acta Oeconomica 65 (2015)mentioning

confidence: 99%

“…Conversely, during down market, negative information may intentionally be limited for the public in the market, causing less rational herding in the down market. According to Chiang et al (2013), another possibility is that investors have a strong belief that the government will intervene when markets are decreased significantly, and are thus less likely to herd in falling markets. The inconsistencies of herding in the four equity markets can be simply observed by plotting the CSAD measure for each day and the corresponding equally-weighted market return.…”

Section: Acta Oeconomica 65 (2015)mentioning

confidence: 99%

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Herd behaviour in Southeast Asian stock markets — An empirical investigation^*

Bui

Nguyen

2015

Acta Oeconomica

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This study examines herd behaviour in four Southeast Asian stock markets, namely Indonesia, the Philippines, Malaysia, and Vietnam. Empirical results indicate that except for the Philippines, herding exists in the other three markets. Stronger evidence of herding has been detected in these markets when the market is up. When the market is down, it is only the Malaysian market that exhibits signifi cant herding. The study further investigates herding by dividing the entire sample period into two sub-periods: pre-crisis and during economic crisis. We fi nd strong evidence of the existence of herding in Indonesia and Malaysia in both sub-periods. However, the fi ndings are mixed when we additionally examine herding in up and down market scenarios during the two sub-periods by using modifi ed models.

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Do investors herd? An examination of Pakistan stock exchange

et al. 2020

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The study attempts to examine herding behaviour in Pakistan stock exchange and determine how herding behaviour responds to asymmetric market conditions. This study has employed CH model, CSSD & CSAD models, and State‐space model. We have used time series data for the period from 2000 to 2016, which include daily returns of KSE all share index and 890 firms listed on Pakistan stock exchange. The outcomes of the study not only reported significant evidence of herding behaviour in Pakistan stock market over the entire sample period but also found it to be more pronounced under extreme market conditions, market volatility and financial crisis. Further, it was found that herding behaviour increases before the crisis, whereas decreases at the time of crisis. Fund managers and investors need to take herding behaviour in to account to evaluate asset prices and require a large number of stocks for achieving a correlation of inferior degree in portfolios and same degree in diversification. In addition, funds herding can be used as a signal of managerial quality. Moreover, as herding implies that fund managers and investors react to regulatory changes in a similar way, which may prevent asset prices from reaching their fundamental values and further causes financial markets to become fragile and destabilize, thus policymakers should take measures to control herding.

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Dynamic Herding Behavior in Pacific-Basin Markets: Evidence and Implications

Cited by 106 publications

References 64 publications

Investor Mood, Herding and the Ramadan Effect

Investor Mood, Herding and the Ramadan Effect

Herd behaviour in Southeast Asian stock markets — An empirical investigation^*

Do investors herd? An examination of Pakistan stock exchange

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Dynamic Herding Behavior in Pacific-Basin Markets: Evidence and Implications

Cited by 106 publications

References 64 publications

Investor Mood, Herding and the Ramadan Effect

Investor Mood, Herding and the Ramadan Effect

Herd behaviour in Southeast Asian stock markets — An empirical investigation*

Do investors herd? An examination of Pakistan stock exchange

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Herd behaviour in Southeast Asian stock markets — An empirical investigation^*