An empirical investigation of COVID-19 effects on herding behaviour in USA and UK stock markets using a quantile regression approach

This study investigates the effects of the COVID-19 pandemic on herding behaviour among investors in two well-developed markets. Utilizing daily prices of stock indexes from the period of December 5, 2017 to February 28, 2022 for USA and January 9, 2018 to February 28, 2022 for UK, we test for herdi...

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Autores principales: Ampofo, Richard T., Aidoo, Eric N., Ntiamoah, Bernard O., Frimpong, Ophelia, Sasu, Daniel
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Springer US 2023
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9816016/
http://dx.doi.org/10.1007/s12197-022-09613-8
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author Ampofo, Richard T.
Aidoo, Eric N.
Ntiamoah, Bernard O.
Frimpong, Ophelia
Sasu, Daniel
author_facet Ampofo, Richard T.
Aidoo, Eric N.
Ntiamoah, Bernard O.
Frimpong, Ophelia
Sasu, Daniel
author_sort Ampofo, Richard T.
collection PubMed
description This study investigates the effects of the COVID-19 pandemic on herding behaviour among investors in two well-developed markets. Utilizing daily prices of stock indexes from the period of December 5, 2017 to February 28, 2022 for USA and January 9, 2018 to February 28, 2022 for UK, we test for herding behaviour using the quantile regression approach in addition to the OLS model. We found no evidence of herding before the COVID-19 pandemic in both bullish and bearish markets for USA and UK. However, herding incidence was discovered in the USA and UK bullish market during the COVID-19 period. In the bearish market, herding behaviour was only found during the COVID-19 period in USA. The study provides policymakers and investors with information to draw significant measures in their investment portfolio management during crises and pandemics.
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spelling pubmed-98160162023-01-06 An empirical investigation of COVID-19 effects on herding behaviour in USA and UK stock markets using a quantile regression approach Ampofo, Richard T. Aidoo, Eric N. Ntiamoah, Bernard O. Frimpong, Ophelia Sasu, Daniel J Econ Finan Article This study investigates the effects of the COVID-19 pandemic on herding behaviour among investors in two well-developed markets. Utilizing daily prices of stock indexes from the period of December 5, 2017 to February 28, 2022 for USA and January 9, 2018 to February 28, 2022 for UK, we test for herding behaviour using the quantile regression approach in addition to the OLS model. We found no evidence of herding before the COVID-19 pandemic in both bullish and bearish markets for USA and UK. However, herding incidence was discovered in the USA and UK bullish market during the COVID-19 period. In the bearish market, herding behaviour was only found during the COVID-19 period in USA. The study provides policymakers and investors with information to draw significant measures in their investment portfolio management during crises and pandemics. Springer US 2023-01-06 2023 /pmc/articles/PMC9816016/ http://dx.doi.org/10.1007/s12197-022-09613-8 Text en © Academy of Economics and Finance 2023, Springer Nature or its licensor (e.g. a society or other partner) holds exclusive rights to this article under a publishing agreement with the author(s) or other rightsholder(s); author self-archiving of the accepted manuscript version of this article is solely governed by the terms of such publishing agreement and applicable law. This article is made available via the PMC Open Access Subset for unrestricted research re-use and secondary analysis in any form or by any means with acknowledgement of the original source. These permissions are granted for the duration of the World Health Organization (WHO) declaration of COVID-19 as a global pandemic.
spellingShingle Article
Ampofo, Richard T.
Aidoo, Eric N.
Ntiamoah, Bernard O.
Frimpong, Ophelia
Sasu, Daniel
An empirical investigation of COVID-19 effects on herding behaviour in USA and UK stock markets using a quantile regression approach
title An empirical investigation of COVID-19 effects on herding behaviour in USA and UK stock markets using a quantile regression approach
title_full An empirical investigation of COVID-19 effects on herding behaviour in USA and UK stock markets using a quantile regression approach
title_fullStr An empirical investigation of COVID-19 effects on herding behaviour in USA and UK stock markets using a quantile regression approach
title_full_unstemmed An empirical investigation of COVID-19 effects on herding behaviour in USA and UK stock markets using a quantile regression approach
title_short An empirical investigation of COVID-19 effects on herding behaviour in USA and UK stock markets using a quantile regression approach
title_sort empirical investigation of covid-19 effects on herding behaviour in usa and uk stock markets using a quantile regression approach
topic Article
url https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9816016/
http://dx.doi.org/10.1007/s12197-022-09613-8
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