The herding behaviour of investors in the CEE stocks markets

摘要

This paper analyze the existence of herding behaviour of investors from emerging markets at industry level by using firm level information. The herding behaviour of investors represents a major cause of speculative bubbles and implies that investors are taking similar trading decisions which may lead to deviations of the stocks prices from their fundamental value. We have examined the presence of herding behaviour on the CEE capital markets by using the CSAD statistical method proposed by Chang et al. (2000). Moreover, this paper highlights the implications of different market conditions on the existence of herding behaviour and finally, investigates the impact of the subprime financial crisis on the behaviour of investors from CEE capital markets.