S. Ferreruela
Cross-Market Herding: Do ‘Herds’ Herd with Each Other?
Ferreruela, S.; Kallinterakis, V.; Mallor, T.
Authors
Abstract
Although herding constitutes one of the most widely researched behavioral trading patterns internationally, the possibility of cross-market herding has remained largely underexplored in the literature. Our study provides a detailed empirical investigation of this issue in the context of ten Asia-Pacific markets for the February 1995–March 2022 window. We find that all ten markets’ “herds” project significant relationships with each other, with causality being identified within a minority of those relationships. These results are robust when controlling for financial crises (Asian; global financial; global pandemic) and US market returns.
Citation
Ferreruela, S., Kallinterakis, V., & Mallor, T. (2024). Cross-Market Herding: Do ‘Herds’ Herd with Each Other?. Journal of Behavioral Finance, 25(2), 208-228. https://doi.org/10.1080/15427560.2022.2100383
Journal Article Type | Article |
---|---|
Acceptance Date | Jun 19, 2022 |
Online Publication Date | Jul 19, 2022 |
Publication Date | 2024 |
Deposit Date | Mar 31, 2023 |
Journal | Journal of Behavioral Finance |
Print ISSN | 1542-7560 |
Electronic ISSN | 1542-7579 |
Publisher | Taylor and Francis Group |
Peer Reviewed | Peer Reviewed |
Volume | 25 |
Issue | 2 |
Pages | 208-228 |
DOI | https://doi.org/10.1080/15427560.2022.2100383 |
Public URL | https://durham-repository.worktribe.com/output/1178062 |
Publisher URL | https://www.tandfonline.com/doi/full/10.1080/15427560.2022.2100383 |
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