Static and regime-dependent herding behavior: An emerging market case study

Mand, Abdollah Ah; Sifat, Imtiaz

doi:10.1016/j.jbef.2021.100466

Cited by 7 publications

(9 citation statements)

References 33 publications

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“…Interestingly, investors in most of the market’s herd in high volatility regime and the main driving factor in herding are the high volatility and not the low return during the market stress. Ah Mand and Sifat ( 2021 ), for Malaysian stock market data from 1995 to 2016, employed a two-state Markov Switching model and observe that herding is largely regime-dependent and a non-linear phenomenon. Using the Hwang and Salmon ( 2004 ) measure, Fei and Liu ( 2021 ) observe the existence of both positive and adverse herding in China.…”

Section: Literature Reviewmentioning

confidence: 99%

Trading Behaviour of Foreign Institutional Investors: Evidence from Indian Stock Markets

Mukherjee

Tiwari

2022

Asia-Pac Financ Markets

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The existence of behavioural bias such as positive feedback trading (PFT) and herding is well researched for advanced economies. This paper explores whether foreign institutional investors (FIIs), a prominent investor group, pursue these strategies in India. The contribution lies in the application of multiple measures of herding. Results indicate that FIIs exhibit PFT behaviour in equity and to some extent, in debt. At the individual stock level, FIIs herd during non-extreme market conditions, but market-level measures indicate absence of herding in extreme market conditions. In the bullish market, they behave more rationally compared to bearish or normal market conditions.

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Section: Literature Reviewmentioning

confidence: 99%

Trading Behaviour of Foreign Institutional Investors: Evidence from Indian Stock Markets

Mukherjee

Tiwari

2022

Asia-Pac Financ Markets

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“…Moreover, regime dependent and dynamic models of investigating the herding behavior are getting popular in the recent empirical works on herding behavior. In this regard, Ah Mand and Sifat (2021) examined regime dependent herding behavior of investors in Malaysia. They used a two-state Markov Switching model and found the herding behavior is heavily regime-dependent and a non-linear phenomenon in Malaysia.…”

Section: Literature Reviewmentioning

confidence: 99%

Herding behavior and stock market conditions

Mand

Janor

Rahim

et al. 2021

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Purpose The purpose of this paper is to investigate whether market conditions have an effect on investors’ propensity to herd in an emerging economy’s stock market. Additionally, given the lack of research on Islamic behavioral finance, the authors further investigate if the herding phenomenon is distinct in Islamic versus conventional stocks. Design/methodology/approach The authors used daily data for the period of 1995–2016 according to the herding behavior model of Chang et al. (2000), which relies on cross-sectional absolute deviation of returns. Findings Findings reveal the herding behavior of investors among Shariah-compliant during up and down market exits with non-linear relationship to the market return, while for conventional stocks herding behavior does not exist with linear nor nonlinear relationships during the up and down market. Furthermore, for the whole market, herding behavior only exists during upmarket with a nonlinear relationship to the market return. However, this relationship is not significant. Moreover, the results of this study are robust with respect to the effect of the Asian and global financial crisis. Practical implications The findings are useful for investors to identify which market conditions are associated with rational and irrational behavior of investors. Originality/value Most of the theoretical and empirical studies on herding behavior have focused on developed countries. Only a few studies have paid attention to the herding behavior in Islamic financial markets, particularly in the context of an emerging market such as Malaysia. This study fills this void.

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“…The CSSD and CSAD models are based on studies by Christie and Huang [ 20 ] and Chang et al [ 22 ], respectively. Researchers have used aggregate market data to examine the occurrence of herding behaviour by applying CSSD and CSAD approaches in their studies [ [87] , [88] , [89] , [90] , [91] ]. However, the non-linear CSAD model is a more accurate measurement of dispersions and improves the linear CSSD model because it has been criticised for its empirical sensitivity to outliers, which makes it difficult to find evidence of investor herding under normal conditions [ 23 , 44 ].…”

Section: Discussionmentioning

confidence: 99%

Herding during different types of crises: The COVID-19 health crisis and Russia–Ukraine political crisis

Aljifri

2024

Heliyon

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Static and regime-dependent herding behavior: An emerging market case study

Cited by 7 publications

References 33 publications

Trading Behaviour of Foreign Institutional Investors: Evidence from Indian Stock Markets

Trading Behaviour of Foreign Institutional Investors: Evidence from Indian Stock Markets

Herding behavior and stock market conditions

Herding during different types of crises: The COVID-19 health crisis and Russia–Ukraine political crisis

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