DYNAMIC HERDING BEHAVIOUR IN THE US STOCK MARKET


Yasir M., ÖNDER A. Ö.

PRAGUE ECONOMIC PAPERS, vol.30, no.1, pp.115-130, 2021 (Journal Indexed in SSCI) identifier identifier

  • Publication Type: Article / Article
  • Volume: 30 Issue: 1
  • Publication Date: 2021
  • Doi Number: 10.18267/j.pep.760
  • Title of Journal : PRAGUE ECONOMIC PAPERS
  • Page Numbers: pp.115-130

Abstract

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.