Empirical Investigation of Herding under Different Economic Setups

摘要

Present study is an attempt to analyse the presence of herding in different economic conditions. A mix of developed and developing countries is selected from different corners of the word. Our sample comprises 35 world markets, out of which 18 are emerging markets while 17 are developed markets. Daily data of all constituents stocks of the representative indices of these markets are extracted over most recent period ranging from Jan. 2000 to Apr. 2018. Applying different methodologies static and time varying, we find that only 11 markets out of 35 exhibit significant herding behaviour. These markets majorly belong to Asia, Africa and Middle East. We also try to relate herding with region, culture and state of economy and do not find any significant relation of these variables with herding.