 Herd behavior in world stock markets: Evidence from quantile regression analysisSibel Çeli̇k
Iktisat Isletme ve Finans, 2013, vol. 28, issue 329, 75-96 Abstract: This paper examines herding behavior in investors in world stock markets including developed stock markets (United States (US), United Kingdom (UK), Germany, France, Netherlands, Austria and Hong Kong) and emerging stock markets (Brazil, Malaysia, Mexico, Argentina and Turkey). Using the ordinary least squares method, we do not find evidence of herding behavior for all of the stock markets. We do find evidence of herding behavior in high quantiles of the distribution for the US, UK, Hong Kong and Mexico by applying quantile regression analysis. In addition, we find that investor herding is present in the Netherlands and Hong Kong when the market is rising, and in the US, France, UK and Hong Kong when the market is declining. We also find that herding is more prevalent in the developed markets than in the emerging markets in our sample. The findings of this paper have important implications for market participants, academics and policy makers. Keywords: Herding; Quantile Regression; World Stock Markets (search for similar items in EconPapers) There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it. Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:iif:iifjrn:v:28:y:2013:i:329:p:75-96 Ordering information: This journal article can be ordered from Access Statistics for this article Iktisat Isletme ve Finans is currently edited by Ali Bilge More articles in Iktisat Isletme ve Finans from Bilgesel Yayincilik |
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