Herd behaviour in Southeast Asian stock markets — An empirical investigation^*

Abstract

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

Analysis of Aggregate Herding Behavior in the Capital Market: Evidence from Indonesia and Singapore

“…Liu (2013) observed herd behavior in the Singapore capital market both throughout the financial crisis and when the market soared and collapsed, and discover the occurrence of herding tendency, especially when the market falls. Bui, Nguyen, and Nguyen (2015) conducted herding behavior research in Indonesia, the Philippines, Malaysia, and Vietnam and discovered very high herding behavior in the Indonesian and Malaysian capital markets during the pre-crisis and economic crises. Noviliya & Prasetiono (2017) checked herd behavior in the Singapore and Indonesia capital markets, study results showed that herd behavior only occurred in the Indonesia capital market.…”

“…Most of the countries in ASEAN are still classified as emerging capital markets, merely Singapore has entered the developed capital market. A number of researchers have proven that herding behavior take place in ASEAN capital markets (Singapore, Indonesia, Malaysia, the Philippines, Thailand, Vietnam), especially when the market is under stress (Liu, 2013;Bui, Nguyen and Nguyen, 2015;Noviliya & Prasetiono, 2017;Kabir and Shakur, 2018;Rahman & Ermawati, 2019;Jirasakuldech & Emekter, 2020;Muharam, et al, 2021). Other research in ASEAN countries found no evidence of herd behavior (Kabir & Shakur, 2018;Ramadhansyah, 2020;Nimanussornkul & Nimanussornkul, 2021;Muharam et al, 2021;Ah Mand et al, 2021).…”