TY - JOUR
T1 - Investor's herding behavior in Asian equity markets during COVID-19 period
AU - Jiang, Rui
AU - Wen, Conghua
AU - Zhang, Ruonan
AU - Cui, Yu
N1 - Publisher Copyright:
© 2022 Elsevier B.V.
PY - 2022/6
Y1 - 2022/6
N2 - In this paper we investigate herding behavior triggered by the COVID-19 outbreak in 2020 by considering six typical Asian stock markets. Cross-sectional Standard Deviation (CSSD) and Cross-sectional Absolute Deviation (CSAD) have been employed as the key indicators, which are aligned with the Markov-switching regression and HS model to identify the presence and magnitude of herding. We then elaborate our study by examining herding in specific time slots and markets with different idiosyncratic volatility. Our empirical results show a clear presence of herding in the “Feb 2020-Jan 2021” time window and we have captured a sharp rise of the magnitude of herding during the market crash in March 2020, and found herding emerged in these markets with shocks and fierce fluctuations
AB - In this paper we investigate herding behavior triggered by the COVID-19 outbreak in 2020 by considering six typical Asian stock markets. Cross-sectional Standard Deviation (CSSD) and Cross-sectional Absolute Deviation (CSAD) have been employed as the key indicators, which are aligned with the Markov-switching regression and HS model to identify the presence and magnitude of herding. We then elaborate our study by examining herding in specific time slots and markets with different idiosyncratic volatility. Our empirical results show a clear presence of herding in the “Feb 2020-Jan 2021” time window and we have captured a sharp rise of the magnitude of herding during the market crash in March 2020, and found herding emerged in these markets with shocks and fierce fluctuations
KW - Asian equity markets
KW - COVID-19
KW - Herding behavior
KW - Idiosyncratic volatility
KW - Markov-switching regression
UR - http://www.scopus.com/inward/record.url?scp=85129528420&partnerID=8YFLogxK
U2 - 10.1016/j.pacfin.2022.101771
DO - 10.1016/j.pacfin.2022.101771
M3 - Article
SN - 0927-538X
VL - 73
JO - Pacific Basin Finance Journal
JF - Pacific Basin Finance Journal
M1 - 101771
ER -