Investor's herding behavior in Asian equity markets during COVID-19 period

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...

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Autores principales: Jiang, Rui, Wen, Conghua, Zhang, Ruonan, Cui, Yu
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier B.V. 2022
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9072808/
http://dx.doi.org/10.1016/j.pacfin.2022.101771
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author Jiang, Rui
Wen, Conghua
Zhang, Ruonan
Cui, Yu
author_facet Jiang, Rui
Wen, Conghua
Zhang, Ruonan
Cui, Yu
author_sort Jiang, Rui
collection PubMed
description 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.
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spelling pubmed-90728082022-05-06 Investor's herding behavior in Asian equity markets during COVID-19 period Jiang, Rui Wen, Conghua Zhang, Ruonan Cui, Yu Pacific-Basin Finance Journal Article 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. Elsevier B.V. 2022-06 2022-05-06 /pmc/articles/PMC9072808/ http://dx.doi.org/10.1016/j.pacfin.2022.101771 Text en © 2022 Elsevier B.V. All rights reserved. Since January 2020 Elsevier has created a COVID-19 resource centre with free information in English and Mandarin on the novel coronavirus COVID-19. The COVID-19 resource centre is hosted on Elsevier Connect, the company's public news and information website. Elsevier hereby grants permission to make all its COVID-19-related research that is available on the COVID-19 resource centre - including this research content - immediately available in PubMed Central and other publicly funded repositories, such as the WHO COVID database with rights for unrestricted research re-use and analyses in any form or by any means with acknowledgement of the original source. These permissions are granted for free by Elsevier for as long as the COVID-19 resource centre remains active.
spellingShingle Article
Jiang, Rui
Wen, Conghua
Zhang, Ruonan
Cui, Yu
Investor's herding behavior in Asian equity markets during COVID-19 period
title Investor's herding behavior in Asian equity markets during COVID-19 period
title_full Investor's herding behavior in Asian equity markets during COVID-19 period
title_fullStr Investor's herding behavior in Asian equity markets during COVID-19 period
title_full_unstemmed Investor's herding behavior in Asian equity markets during COVID-19 period
title_short Investor's herding behavior in Asian equity markets during COVID-19 period
title_sort investor's herding behavior in asian equity markets during covid-19 period
topic Article
url https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9072808/
http://dx.doi.org/10.1016/j.pacfin.2022.101771
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