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Dynamic Herding Behavior in Pacific-Basin Markets: Evidence and Implications

Author

Listed:
  • Thomas Chiang

    (Drexel University, USA)

  • Lin Tan

    (California State Polytechnic University, USA)

  • Jiandong Li

    (Central University of Finance and Economics, China)

  • Edward Nelling

    (Drexel University, USA)

Abstract

This study examines investor herding behavior in Pacific-Basin equity markets. Results indicate that the level of herding is time-varying, and is present in both rising and falling markets. It is positively related to stock market performance, but negatively related to market volatility. Herding estimates across markets are positively correlated, signifying comovement of herding behavior in the region. The findings suggest that tests for herding should consider its dynamic behavior.

Suggested Citation

  • Thomas Chiang & Lin Tan & Jiandong Li & Edward Nelling, 2013. "Dynamic Herding Behavior in Pacific-Basin Markets: Evidence and Implications," Multinational Finance Journal, Multinational Finance Journal, vol. 17(3-4), pages 165-200, September.
    • Handle: RePEc:mfj:journl:v:17:y:2013:i:3-4:p:165-200
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    More about this item

    Keywords

    herding behavior; stock return dispersion; kalman filter; nonlinearity; pacific-basin markets;
    All these keywords.

    JEL classification:

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

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