Herding in frontier markets: evidence from the Balkan region
Review of Behavioral Finance, 2019, vol. 12, issue 2, 119-135
Purpose - The purpose of this paper is to examine herding in four frontier markets in the Balkan region, namely, Bulgaria, Croatia, Romania and Slovenia, from October 2000 to December 2016. Design/methodology/approach - The author employs Chang Findings - Overall, Romania exhibits the most extensive evidence of herding across various estimations. The empirical results indicate that cross-market herding dynamics within the region generate stronger herding (compared to the herding observed within each stock market individually), suggesting that Balkan stock exchanges’ growing financial integration leads their herding to be “imported”, rather than domestically motivated. Practical implications - The findings provide useful insights for regulators in frontier markets, considering the destabilising potential of herding; they are also of particular interest to the investment community for reasons of international asset allocation, diversification and hedging strategies. Originality/value - This study contributes to the limited herding literature regarding frontier markets and provides novel findings regarding the herding dynamics in the Balkan region, the EU/Euro zone accession’s effect and global factors’ impact on herding estimations.
Keywords: Herding; Frontier markets; Balkan stock markets; Cross-sectional dispersion of returns; G10; G14; G15 (search for similar items in EconPapers)
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