HERD BEHAVIOUR IN SOUTHEAST ASIAN STOCK MARKETS -AN EMPIRICAL INVESTIGATION

摘要

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 significant herding. The study further investigates herding by dividing the entire sample period into two sub-periods: pre-crisis and during economic crisis. We find strong evidence of the existence of herding in Indonesia and Malaysia in both sub-periods. However, the findings are mixed when we additionally examine herding in up and down market scenarios during the two sub-periods by using modified models.