AN ANALYSIS OF HERDING BEHAVIOR IN THE STOCK MARKET: A CASE STUDY OF THE ASEAN-5 AND THE UNITED STATES

R. Eki Rahman () and Ermawati ()
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R. Eki Rahman: Bank Indonesia
Ermawati: Bank Indonesia

Bulletin of Monetary Economics and Banking, 2020, vol. 23, issue 3, 297-318

Abstract: We construct a new dataset to examine herding behavior in the ASEAN-5 (Indonesia, Singapore, Malaysia, the Philippines and Thailand) and the US stock market. Our dataset consists of daily closing prices on the most liquid stock indices in the ASEAN-5 and the US stock market. Based on the Newey–West estimator, we show that the dominant global factor influencing herding behavior is the US federal funds rate, while the cross-market herding of the Singaporean stock market is the dominant regional factor that influence the other ASEAN stock markets. We find that herding behavior, caused by stock market index, spikes only occur in the Philippine stock market.

Keywords: Uncertainty; Risk; Herding; Stability; Behavioral Economics (search for similar items in EconPapers)
JEL-codes: D53 D70 D80 D90 (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:idn:journl:v:23:y:2020:i:3a:p:297-318

DOI: 10.21098/bemp.v23i3.1362

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