Applying an alternative test of herding behavior: a case study of the Indian stock market

Saumitra Bhaduri and Mahapatra Sidharth

MPRA Paper from University Library of Munich, Germany

Abstract: The paper presents an alternative approach to test the herding behavior in the Indian equity market using symmetric properties of the cross sectional return distribution instead of the traditional standard deviation of the portfolio-based approach. Using the proposed approach, we find evidence of herding in the Indian market during the sample period. We also observe pronounced herding during the 2007 crash in the Indian equity market. Finally, we also observe that the rate of increase in security return dispersion as a function of the aggregate market return is lower in up market, relative to down market days, which stands contrary to the directional asymmetry documented by McQueen, Pinegar, and Thorley (1996).

Keywords: Herding; Equity; Market; India (search for similar items in EconPapers)
JEL-codes: G14 G20 (search for similar items in EconPapers)
Date: 2012-04-10
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/38014/1/MPRA_paper_38014.pdf original version (application/pdf)

Related works:
Journal Article: Applying an alternative test of herding behavior: A case study of the Indian stock market (2013)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:38014

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().