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Herd behaviour in Southeast Asian stock markets — An empirical investigation

Author

Listed:
  • Nha D. Bui

    (Finance and Banking Faculty, Ton Duc Thang University, Ho Chi Minh City, Vietnam)

  • Loan T. B. Nguyen

    (Finance and Banking Faculty, Ton Duc Thang University, Ho Chi Minh City, Vietnam)

  • Nhung T. T. Nguyen

    (Finance and Banking Faculty, Ton Duc Thang University, Ho Chi Minh City, Vietnam)

Abstract

This study examines herd behaviour in four Southeast Asian stock markets, namely Indonesia, the Philippines, Malaysia, and Vietnam. Empirical results indicate that except for the Philippines, herding exists in the other three markets. Stronger evidence of herding has been detected in these markets when the market is up. When the market is down, it is only the Malaysian market that exhibits significant herding. The study further investigates herding by dividing the entire sample period into two sub-periods: pre-crisis and during economic crisis. We find strong evidence of the existence of herding in Indonesia and Malaysia in both sub-periods. However, the findings are mixed when we additionally examine herding in up and down market scenarios during the two sub-periods by using modified models.

Suggested Citation

  • Nha D. Bui & Loan T. B. Nguyen & Nhung T. T. Nguyen, 2015. "Herd behaviour in Southeast Asian stock markets — An empirical investigation," Acta Oeconomica, Akadémiai Kiadó, Hungary, vol. 65(3), pages 413-429, September.
  • Handle: RePEc:aka:aoecon:v:65:y:2015:i:3:p:413-429
    Note: The authors would like to thank Prof. Katalin Szabó, Prof. Balázs Hámori, and the two anonymous referees for their valuable comments and suggestions.
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    More about this item

    Keywords

    herding; emerging markets;

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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