Determinants of industry herding in the US stock market
Determinants of industry herding in the US stock market
This article provides empirical evidence on the determinants of herding in the US using both market and industry level data. We examined herding based on market returns, volatility and trading volume, using the daily data from 1990 to 2020. The findings demonstrate that herding at the market level does not exist, however some herding becomes visible at the industry level. The results also demonstrate significant evidence of anti-herding behaviour at the market and industry level.
Asymmetric behaviour, Industry herding, US stock markets
Ukpong, Idibekeabasi
6b564de1-81d5-427b-adb7-00c964f786be
Tan, Handy
965d6b36-9154-431b-b2a7-d907ca67ca34
Yarovaya, Larisa
2bd189e8-3bad-48b0-9d09-5d96a4132889
November 2021
Ukpong, Idibekeabasi
6b564de1-81d5-427b-adb7-00c964f786be
Tan, Handy
965d6b36-9154-431b-b2a7-d907ca67ca34
Yarovaya, Larisa
2bd189e8-3bad-48b0-9d09-5d96a4132889
Ukpong, Idibekeabasi, Tan, Handy and Yarovaya, Larisa
(2021)
Determinants of industry herding in the US stock market.
Finance Research Letters, 43, [101953].
(doi:10.1016/j.frl.2021.101953).
Abstract
This article provides empirical evidence on the determinants of herding in the US using both market and industry level data. We examined herding based on market returns, volatility and trading volume, using the daily data from 1990 to 2020. The findings demonstrate that herding at the market level does not exist, however some herding becomes visible at the industry level. The results also demonstrate significant evidence of anti-herding behaviour at the market and industry level.
Text
Determinants of industry herding_accepted
- Accepted Manuscript
More information
Accepted/In Press date: 27 January 2021
e-pub ahead of print date: 30 January 2021
Published date: November 2021
Additional Information:
Publisher Copyright:
© 2021
Copyright:
Copyright 2021 Elsevier B.V., All rights reserved.
Keywords:
Asymmetric behaviour, Industry herding, US stock markets
Identifiers
Local EPrints ID: 448437
URI: http://eprints.soton.ac.uk/id/eprint/448437
ISSN: 1544-6123
PURE UUID: 7641b3bf-854f-423b-92ba-afd6e70cf437
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Date deposited: 22 Apr 2021 16:43
Last modified: 17 Mar 2024 06:25
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Contributors
Author:
Idibekeabasi Ukpong
Author:
Handy Tan
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