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Determinants of industry herding in the US stock market

Author

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  • Ukpong, Idibekeabasi
  • Tan, Handy
  • Yarovaya, Larisa

Abstract

This article provides empirical evidence on the determinants of herding in the US using both market and industry level data. We examined herding based on market returns, volatility and trading volume, using the daily data from 1990 to 2020. The findings demonstrate that herding at the market level does not exist, however some herding becomes visible at the industry level. The results also demonstrate significant evidence of anti-herding behaviour at the market and industry level.

Suggested Citation

  • Ukpong, Idibekeabasi & Tan, Handy & Yarovaya, Larisa, 2021. "Determinants of industry herding in the US stock market," Finance Research Letters, Elsevier, vol. 43(C).
    • Handle: RePEc:eee:finlet:v:43:y:2021:i:c:s1544612321000349
    DOI: 10.1016/j.frl.2021.101953
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    References listed on IDEAS

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    More about this item

    Keywords

    Industry herding; US stock markets; Asymmetric behaviour;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G40 - Financial Economics - - Behavioral Finance - - - General
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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