An Examination of Herd Behavior in Equity Markets: An International Perspective

Investor attention to the Eurozone crisis and herding effects in national bank stock indexes

“…For example, the FTSE price index for the Greek bank stocks declined 72% during the period from November 2, 2009 to June 29, 2010. To measure herding effects we utilize the cross-sectional absolute deviation (CSAD) similar to Chang et al (2000) by computing the herding of national bank stock indexes within both the EMU and non-EMU regions:…”

Empirical investigation of herding behavior in Chinese stock markets: Evidence from quantile regression analysis

“…1 For instance, by applying firm-level data to examine whether investors in global markets have a tendency to exhibit herd behavior, Chang, Cheng, and Khorana (2000) find significant evidence of herding in South Korea and Taiwan and partial evidence of herding in Japan. However, there is no evidence of herding for market participants in the U.S. and Hong Kong.…”

Contrarian strategies and investor overreaction under price limits

“…Moreover, Shleifer and Summers (1990), Graham (1999), and Nofsinger and Sias (1999) propose that individual investors tend to buy or sell as a group when they follow the same signals or place heavy importance on recent news or external events. Chang et al (2000) also find strong evidence of herding as a result of incomplete information disclosure during extreme up and down periods when investors tend to overreact to external news shocks.…”