 Regime-dependent herding behavior in Asian and Latin American stock marketsM. Humayun Kabir and Shamim Shakur Pacific-Basin Finance Journal, 2018, vol. 47, issue C, 60-78 Abstract: By using the smooth transition regression (STR) approach, which captures nonlinearity with regime switches, this paper examines investors' herding behavior in Asian and Latin American markets across market states and volatility regimes considering them as the transition variables. While some markets tend to herd with market consensus in high market regime, China, India, Malaysia, Singapore, Argentina and Brazil, in contrast to previous findings, do not show any nonlinearity across market regimes. Investors in most of the markets except Argentina and Brazil herd in high volatility regime. The driving force in investors' herding is the high level of volatility rather than the low returns during the period of market stress. Some of the markets show the presence of adverse herding with both market and volatility regimes. Herding is also prevalent in high volatility regime of VIX. The findings suggest the important role of U.S. market sentiment affecting the herding behavior of investors. Keywords: Stock returns; CSAD; Herding; Smooth transition model; Asian stock markets; Latin American stock markets (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:pacfin:v:47:y:2018:i:c:p:60-78 DOI: 10.1016/j.pacfin.2017.12.002 Access Statistics for this article Pacific-Basin Finance Journal is currently edited by K. Chan and S. Ghon Rhee More articles in Pacific-Basin Finance Journal from Elsevier |
Is your work missing from RePEc? Here is how to contribute.
Questions or problems? Check the EconPapers FAQ or send mail to .
EconPapers is hosted by the
School of Business at Örebro University.