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Cross-Market Herding: Do ‘Herds’ Herd with Each Other?

Ferreruela, S.; Kallinterakis, V.; Mallor, T.

Authors

S. Ferreruela

T. Mallor



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