Do Investors Herd in Global Stock Markets?

Tao Chen

Research output: Contribution to journalArticlepeer-review

77 Citations (Scopus)

Abstract

By applying daily returns of 35,328 stocks traded on 69 countries over 10 years, this study makes three main contributions to the literature on herding behavior in global stock markets. First, I extend the earlier studies to the international markets in order to conduct a broader test for the validation of a global phenomenon. Second, I evaluate whether herding behavior is different among developed, emerging, and frontier markets. Third, I employ three measures to capture the herding effect to avoid biases in empirical tests. Evidence shows that the Christie and Huang [1995] linear model fails to detect the presence of herding. However, both the Chang, Cheng, and Khorana [2000] nonlinear model and the Hwang and Salmon [2004] state-space model identify the significant herding effect globally.

Original languageEnglish
Pages (from-to)230-239
Number of pages10
JournalJournal of Behavioral Finance
Volume14
Issue number3
DOIs
Publication statusPublished - 2013

Keywords

  • Global stock market
  • Herding behavior
  • Returns dispersion

Fingerprint

Dive into the research topics of 'Do Investors Herd in Global Stock Markets?'. Together they form a unique fingerprint.

Cite this