Journal article
An empirical analysis of herd behavior in global stock markets
Journal of banking & finance, Vol.34(8), pp.1911-1921
01 Aug 2010
Featured in Collection : UN Sustainable Development Goals @ Drexel
Abstract
This paper examines herding behavior in global markets. By applying daily data for 18 countries from May 25, 1988, through April 24, 2009, we find evidence of herding in advanced stock markets (except the US) and in Asian markets. No evidence of herding is found in Latin American markets. Evidence suggests that stock return dispersions in the US play a significant role in explaining the non-US market's herding activity. With the exceptions of the US and Latin American markets, herding is present in both up and down markets, although herding asymmetry is more profound in Asian markets during rising markets. Evidence suggests that crisis triggers herding activity in the crisis country of origin and then produces a contagion effect, which spreads the crisis to neighboring countries. During crisis periods, we find supportive evidence for herding formation in the US and Latin American markets. (C) 2010 Elsevier B.V. All rights reserved.
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Details
- Title
- An empirical analysis of herd behavior in global stock markets
- Creators
- Thomas C. Chiang - Drexel UniversityDazhi Zheng - Drexel University
- Publication Details
- Journal of banking & finance, Vol.34(8), pp.1911-1921
- Publisher
- Elsevier
- Number of pages
- 11
- Resource Type
- Journal article
- Language
- English
- Academic Unit
- [Retired Faculty]
- Identifiers
- 991019167699504721
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- Business, Finance
- Economics