Herding Behavior: Evidence from Southeast Asian Stock Markets

Harjum Muharam, Aditya Dharmawan, Najmudin Najmudin and Robiyanto Robiyanto

A chapter in Recent Developments in Asian Economics International Symposia in Economic Theory and Econometrics, 2021, vol. 28, pp 207-220 from Emerald Group Publishing Limited

Abstract: This study aims to analyze the herding behavior in Southeast Asian stock markets. A cross-sectional absolute deviation of the returns approach is used to identify the presence of herding. Individual stocks and market returns were employed on each stock market on a daily basis during the period of January 2008 to December 2014 from five countries selected to obtain the necessary data. The samples observed consisted of stocks having higher liquidity and larger market capitalization for each stock market. The results suggest that there is significant evidence of herding behavior found in Kuala Lumpur and Philippines Stock Exchanges. In addition, there is no evidence of herding behavior in Indonesia, Singapore, and Thailand Stock Exchanges.

Keywords: Herding behavior; cross-sectional absolute deviation; stock market; Southeast Asian; behavioral finance; return; G41; G11 (search for similar items in EconPapers)
Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:eme:isetez:s1571-038620210000028012

DOI: 10.1108/S1571-038620210000028012

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