Cross-Market Herding: Do ‘Herds’ Herd with Each Other?

Sandra Ferreruela, Vasileios Kallinterakis and Tania Mallor

Journal of Behavioral Finance, 2024, vol. 25, issue 2, 208-228

Abstract: Although herding constitutes one of the most widely researched behavioral trading patterns internationally, the possibility of cross-market herding has remained largely underexplored in the literature. Our study provides a detailed empirical investigation of this issue in the context of ten Asia-Pacific markets for the February 1995–March 2022 window. We find that all ten markets’ “herds” project significant relationships with each other, with causality being identified within a minority of those relationships. These results are robust when controlling for financial crises (Asian; global financial; global pandemic) and US market returns.

Date: 2024
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DOI: 10.1080/15427560.2022.2100383

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