Dynamic Herding Behaviour In the US Stock Market
Muhammad Yasir and
A. Özlem Önder
Prague Economic Papers, 2021, vol. 2021, issue 1, 115-130
This paper employs a dynamic herding approach that takes herding under different market regimes into account. We use daily data on US stock returns for the S&P 500 ranging from 2006 to 2017. The results of the linear model yield no evidence of herding. However, the findings of switching regression of Bai and Perron (1998) demonstrate evidence of herding during crisis regimes of S&P 500. The alternative approach of Markov switching also supports these findings.
Keywords: Behavioural finance; herding behaviour; cross-sectional dispersions; structural breaks (search for similar items in EconPapers)
JEL-codes: C22 C58 G01 G15 G41 (search for similar items in EconPapers)
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