Dynamic Herding Behaviour in the US Stock Market
Makaleler > Tam Makale · 2021
Yazarlar: Muhammad Yasir, Asiye Özlem ÖNDER
PRAGUE ECONOMIC PAPERS, SCI Expanded İndekslerine Giren Dergi, Uluslararası, 2021, cilt 30, ss 115-130
DOI: 10.18267/j.pep.760
Özet
This paper employs a dynamic herding approach that takes herding under different market regimes into account. We use daily data on US stock returns for the S&P 500 ranging from 2006 to 2017. The results of the linear model yield no evidence of herding. However, the findings of switching regression of Bai and Perron (1998) demonstrate evidence of herding during crisis regimes of S&P 500. The alternative approach of Markov switching also supports these findings.