An examination of herding behavior in pakistani stock market
Imran Yousaf & Shoaib Ali & Syed Zulfiqar Ali Shah, 2018. "Herding behavior in Ramadan and financial crises: the case of the Pakistani stock market," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 4(1), pages 1-14, December. Thomas Chiang & Lin Tan & Jiandong Li & Edward Nelling, 2013. We examine herd behaviour applying the cross-sectional dispersion approach. Moreover, we investigate the asymmetric herding behaviour under different market states and sub-periods. The stock markets under examination provide comparable implied volatility indices which are used as a proxy for fear. As a result, apart from the standard herding An Examination of Herd Behavior: An Empirical Evidence from Indian Equity Market Jaya M. Prosad, Sujata Kapoor, and Jhumur Sengupta International Journal of Trade, Economics and Finance, Vol. 3, No. 2, April 2012 154. individual asset returns to the realized market average. They analysed that market alternates between normal and extreme phases and that herding exists in periods of market In summary, even after controlling for the effect of market and firm fundamentals, we still find evidence of herd behavior in Chinese stock markets. A potential concern is whether the herding coefficient γ 2 is capturing the relation between idiosyncratic risk and market returns, which is documented by Goyal and Santa-Clara (2003). The existence of herding behaviour challenges the validity of the “efficient market hypothesis”. This study examines herding behaviour in the Chinese and Indian stock markets; our findings suggest that herding behaviour exists in both. The level of herding depends on market conditions. In the Chinese market, herding behaviour is greater
– The purpose of this paper is to examine the investment behavior of Pakistani stock market participants, specifically with respect to their tendency to exhibit herd behavior. , – The study employed two different methodologies suggested by Christie and Huang (1995) and Chang et al. (2000) to test herd formation. Results are based on daily and monthly stock of KSE-100 index for the period
how factors like overconfidence, herding-behavior of investor and over optimism affect the in Lahore office of Pakistan Stock Exchange (PSX). decision to retain factors was based on eigenvalues and visual inspection of Scree plot. Table 2 (Heuristics, Prospects, and Herding) on investment performance of individual investors. It uses a sample of 477 individual investors from. Pakistani stock market Long-run relationships between an emerging equity market and equity markets of the developed An examination of herding behavior in Pakistani stock market. reserved. Keywords: Foreign portfolio investment; Crisis; Feedback trading; Herding examined the tendencies that fund managers and fund customers may engage in trading behavior is affected by stock movement in another market. the KSE and month-end Won/dollar exchange rate from the Federal Reserve. futures market aims to make clarity on the herding behavior of Indian futures market by relating to herd behavior in stock markets and the present (2016) which examined the herd behavior in Herding Behavior in Karachi Stock.
An examination of herding behavior in Pakistani stock market An examination of herding behavior in Pakistani stock market Javaira, Zuee ; Hassan, Arshad 2015-07-20 00:00:00 Purpose – The purpose of this paper is to examine the investment behavior of Pakistani stock market participants, specifically with respect to their tendency to exhibit herd behavior.
22 Dec 2015 This study aims at examining the existence of herding behavior of investors in Pakistani stock market. KSE 100 is selected as a sample for the Keywords: herding behavior, cross-sectional stock dispersion, Pakistan stock Huge number of studies has examined herding behavior among investors' stock market. The study employs the methodology suggested by Chang et al. ( 2000) of cross sectional absolute deviation (CSAD) to test herd formation. how factors like overconfidence, herding-behavior of investor and over optimism affect the in Lahore office of Pakistan Stock Exchange (PSX). decision to retain factors was based on eigenvalues and visual inspection of Scree plot. Table 2
income and experience) on behavioral biases (overconfidence, herding, disposition, self- attribution data from the sample of 150 investors in Lahore and Islamabad offices of Pakistan Stock. Exchange making and stock market behavior (Shefrin, 2000; Shiller, 2000), risky lottery investments Third stage i.e. evaluation.
Thus to have an evidence of herd behavior in KSE, values of regression coefficients i.e. β1 and β2 should be significantly negative. Non linearity of herding. Non- 22 Dec 2015 This study aims at examining the existence of herding behavior of investors in Pakistani stock market. KSE 100 is selected as a sample for the Keywords: herding behavior, cross-sectional stock dispersion, Pakistan stock Huge number of studies has examined herding behavior among investors' stock market. The study employs the methodology suggested by Chang et al. ( 2000) of cross sectional absolute deviation (CSAD) to test herd formation. how factors like overconfidence, herding-behavior of investor and over optimism affect the in Lahore office of Pakistan Stock Exchange (PSX). decision to retain factors was based on eigenvalues and visual inspection of Scree plot. Table 2
In summary, even after controlling for the effect of market and firm fundamentals, we still find evidence of herd behavior in Chinese stock markets. A potential concern is whether the herding coefficient γ 2 is capturing the relation between idiosyncratic risk and market returns, which is documented by Goyal and Santa-Clara (2003).
Zuee Javaira and Arshad Hassan, An examination of herding behavior in Pakistani stock market, International Journal of Emerging Markets, 10, 3, (474), (2015). Crossref Dirk-Jan Janssen, Utz Weitzel and Sascha FFllbrunn , Speculative Bubbles - An Introduction and Application of the Speculation Elicitation Task (SET) , SSRN Electronic Journal Zuee Javaira and Arshad Hassan, An examination of herding behavior in Pakistani stock market, International Journal of Emerging Markets, 10, 3, (474), (2015). Crossref Lars Tvede , Bibliography , Business Cycles , (449-469) , (2015) . Results based on daily stock data reveal that there is an absence of herding behavior during rising (up) and falling (down) market as well as during high and low volatility in market. While Imran Yousaf & Shoaib Ali & Syed Zulfiqar Ali Shah, 2018. "Herding behavior in Ramadan and financial crises: the case of the Pakistani stock market," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 4(1), pages 1-14, December. Thomas Chiang & Lin Tan & Jiandong Li & Edward Nelling, 2013.
22 Dec 2015 This study aims at examining the existence of herding behavior of investors in Pakistani stock market. KSE 100 is selected as a sample for the Keywords: herding behavior, cross-sectional stock dispersion, Pakistan stock Huge number of studies has examined herding behavior among investors' stock market. The study employs the methodology suggested by Chang et al. ( 2000) of cross sectional absolute deviation (CSAD) to test herd formation. how factors like overconfidence, herding-behavior of investor and over optimism affect the in Lahore office of Pakistan Stock Exchange (PSX). decision to retain factors was based on eigenvalues and visual inspection of Scree plot. Table 2 (Heuristics, Prospects, and Herding) on investment performance of individual investors. It uses a sample of 477 individual investors from. Pakistani stock market