An examination of herd behavior in equity markets: An international perspective

✍ Scribed by Eric C Chang; Joseph W Cheng; Ajay Khorana

• Book ID: 117529243
• Publisher: Elsevier Science
• Year: 2000
• Tongue: English
• Weight: 266 KB
• Volume: 24
• Category: Article
• ISSN: 0378-4266
• DOI: 10.1016/s0378-4266(99)00096-5

✦ Synopsis

We examine the investment behavior of market participants within dierent international markets (i.e., US, Hong Kong, Japan, South Korea, and Taiwan), speci®cally with regard to their tendency to exhibit herd behavior. We ®nd no evidence of herding on the part of market participants in the US and Hong Kong and partial evidence of herding in Japan. However, for South Korea and Taiwan, the two emerging markets in our sample, we document signi®cant evidence of herding. The results are robust across various size-based portfolios and over time. Furthermore, macroeconomic information rather than ®rm-speci®c information tends to have a more signi®cant impact on investor behavior in markets which exhibit herding. In all ®ve markets, the rate of increase in security return dispersion as a function of the aggregate market return is higher in up market, relative to down market days. This is consistent with the directional asymmetry documented by