Cross-Market Herding: Do 'Herds' Herd with Each Other?

Ferreruela, Sandra, Kallinterakis, Vasileios ORCID: 0000-0001-6217-1188 and Mallor, Tania (2022) Cross-Market Herding: Do 'Herds' Herd with Each Other? JOURNAL OF BEHAVIORAL FINANCE, 25 (2). pp. 208-228.

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Official URL: http://dx.doi.org/10.1080/15427560.2022.2100383

Abstract

Although herding constitutes one of the most widely researched behavioral trading patterns internationally, the possibility of cross-market herding has remained largely underexplored in the literature. Our study provides a detailed empirical investigation of this issue in the context of ten Asia-Pacific markets for the February 1995–March 2022 window. We find that all ten markets’ “herds” project significant relationships with each other, with causality being identified within a minority of those relationships. These results are robust when controlling for financial crises (Asian; global financial; global pandemic) and US market returns.

Item Type:	Article
Uncontrolled Keywords:	Herding, cross-market herding, Asia-Pacific, causality, financial crises
Depositing User:	Symplectic Admin
Date Deposited:	31 Oct 2022 15:27
Last Modified:	22 Apr 2024 18:00
DOI:	10.1080/15427560.2022.2100383
Open Access URL:	https://zaguan.unizar.es/record/119011
Related URLs:	Author Publisher
URI:	https://livrepository.liverpool.ac.uk/id/eprint/3165894