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The COVID-19 Pandemic and Herding Behaviour: Evidence from India’s Stock Market

Rosy Dhall and Bhanwar Singh

Millennial Asia, 2020, vol. 11, issue 3, 366-390

Abstract: This article examines the herding behaviour at the industry level from national stock exchange (NSE). The novel contribution of this article is to examine the herding behaviour during the whole, pre- and post-coronavirus disease 2019 (COVID-19) pandemic outbreak period. We deployed the popular model proposed by Chang et al. (2000) to examine herd formation. Using daily stock closing prices of 191 firms, which constitute the 12 industry indices for the period from 1 January 2015 to 1 June 2020, the results for the full sample period (1 January 2015 to 1 June 2020) and before COVID-19 outbreak period (1 January 2015 to 29 January 2020) indicate the non-existence of herding formation at the industry level, but they do suggest a strong evidence of anti-herding behaviour. In addition, during the bull and bear market conditions, we found evidence of herding behaviour during the post-COVID-19 outbreak period (1 January 2020 to 1 June 2020). Further, the findings suggest that COVID-19 pandemic caused the formation of herding behaviour at the industry level. The study facilitates investors to devise their trading strategies in the regime of the COVID-19 pandemic.

Keywords: COVID-19; herding behaviour; industry; investor behaviour (search for similar items in EconPapers)
Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:sae:millen:v:11:y:2020:i:3:p:366-390

DOI: 10.1177/0976399620964635

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