A cross-country analysis of herd behavior in Europe

Asma Mobarek, Sabur Mollah () and Kevin Keasey

Journal of International Financial Markets, Institutions and Money, 2014, vol. 32, issue C, 107-127

Abstract: This paper examines country specific herding behavior in European liquid constituent indices for the period of 2001–2012. While we report insignificant results for the whole period, we document significant herding behavior during crises and asymmetric market conditions. Particularly, herding effect is pronounced in most continental countries during the global financial crisis and Nordic countries during the Eurozone crisis. However, PIIGS countries are the victims in both crises. Furthermore, we find evidence that the cross sectional dispersions of returns can be partly explained by the cross sectional dispersions of the other markets, with Germany having the greatest influence on the regional cross-country herding effect. Apprehensions heighten among the regulators, policy makers, and investors in the European markets for the herding behavior during volatile market conditions.

Keywords: Herding; Cross-sectional dispersion of returns; Global financial crisis; Eurozone crisis (search for similar items in EconPapers)
JEL-codes: G01 G12 G15 (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (67)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:intfin:v:32:y:2014:i:c:p:107-127

DOI: 10.1016/j.intfin.2014.05.008

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