Investment behavior during the COVID pandemic: An evidence from emerging Asian markets

Sana Tauseef ()
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Sana Tauseef: Institute of Business Administration, Karachi-Pakistan

Business Review, 2021, vol. 16, issue 1, 76-100

Abstract: This study investigates the investor behavior in Asian emerging markets during the COVID pandemic period and assesses the asymmetric patterns and the influence of global and regional return dynamics on local investor behavior. It uses daily firm-level data from January 2001 to December 2020 for nine Asian emerging countries: China, India, Indonesia, Korea, Malaysia, Pakistan, Philippines, Taiwan and Thailand to estimate the impact of extreme price movements, market liquidity and US and Chinese market returns on local return dispersions using a non-linear specification. The findings indicate that rational price behavior prevailed in all markets over the COVID period. Though herding manifested itself occasionally during the low trading volume days in the pandemic period; overall, herd formation was not observed conditioned on domestic or non-domestic factors. Infact, our comparison of pre-COVID and COVID periods shows a significant shift in investment behavior away from herding and in favor of market efficiency for emerging markets of China, India and Korea. The findings on prevalence of rational price behavior are unique and reflective of improved informational environment in Asian emerging markets.

Keywords: Rational; price; behavior; ·; Herding; ·; Return; dispersions; ·; Pandemic (search for similar items in EconPapers)
Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:aho:journl:v:16:y:2021:i:1:p:76-100

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