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Determinants of industry herding in the US stock market

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
1544-6123
Ukpong, Idibekeabasi
6b564de1-81d5-427b-adb7-00c964f786be
Tan, Handy
965d6b36-9154-431b-b2a7-d907ca67ca34
Yarovaya, Larisa
2bd189e8-3bad-48b0-9d09-5d96a4132889
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).

Record type: Article

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.

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Determinants of industry herding_accepted - Accepted Manuscript
Restricted to Repository staff only until 30 January 2023.
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More information

Accepted/In Press date: 27 January 2021
e-pub ahead of print date: 30 January 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
ORCID for Larisa Yarovaya: ORCID iD orcid.org/0000-0002-9638-2917

Catalogue record

Date deposited: 22 Apr 2021 16:43
Last modified: 28 Apr 2022 02:26

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Contributors

Author: Idibekeabasi Ukpong
Author: Handy Tan
Author: Larisa Yarovaya ORCID iD

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