 Did Investors Herd during the Financial Crisis? Evidence from the US Financial IndustryM. Humayun Kabir International Review of Finance, 2018, vol. 18, issue 1, 59-90 Abstract: We examine the herding behavior of investors in the US financial industry, especially commercial banks, S&Ls, investment and insurance firms during global financial crisis of 2008 towards own sub†sector and market consensus using augmented cross sectional absolute deviation of returns (CSAD) model. After distinguishing between fundamental and non†fundamental information, we find a greater influence of global financial crisis on spurious herding for commercial and investment banks, and such herding increases in the down market and with conditional volatility of returns, but adverse herding is prevalent among investors during normal period in response to fundamental information. We also find that herding intensity on fundamental information is relatively high with market consensus for all financial institutions except insurance firms in high volatility regime, and intentional herding is only significant and limited to S&Ls and investment banks in high volatility regime. Our findings suggest limited spillover effects of herding when investors face non†fundamental information. Date: 2018 Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:bla:irvfin:v:18:y:2018:i:1:p:59-90 Ordering information: This journal article can be ordered from Access Statistics for this article International Review of Finance is currently edited by Bruce D. Grundy, Naifu Chen, Ming Huang, Takao Kobayashi and Sheridan Titman More articles in International Review of Finance from International Review of Finance Ltd. |
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