Investor Behaviour and Herding: Evidence from the National Stock Exchange in India

Sunil Poshakwale and Anandadeep Mandal
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Sunil Poshakwale: Sunil Poshakwale (corresponding author), School of Management, Cranfield University, Bedford-MK43 0AL, England. E-mail: sunil.poshakwale@cranfield.ac.uk
Anandadeep Mandal: Anandadeep Mandal, School of Management, Cranfield University, Bedford-MK43 0AL, England. E-mail: anandadeep.mandal@cranfield.ac.uk

Journal of Emerging Market Finance, 2014, vol. 13, issue 2, 197-216

Abstract: The article examines the presence of herd behaviour in the emerging Indian stock market. Using daily data of S&P CNX Nifty 50 index of the National Stock Exchange over 1997–2012 and by employing Kalman filter, we investigate for the presence of herding. The article finds that the investors in the Indian market show significant herding behaviour. The presence of herding is robust after accounting for time-varying state variables that capture market volatility and market direction. Herding shows significant movements and persistence in both bull and bear markets and it seems to increase in bear market conditions. JEL Classification: C02, C21, G11, G14

Keywords: Herd behaviour; emerging market; cross-sectional standard deviation; Kalman filter (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:sae:emffin:v:13:y:2014:i:2:p:197-216

DOI: 10.1177/0972652714541341

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