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Herding and market volatility

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  • Fei, Tianlun
  • Liu, Xiaoquan

Abstract

In this paper, we explore the impact of investor herding behavior on stock market volatility. We adopt a direct herding measure based on the variation of cross-sectional stock betas. The measure can be readily separated into positive and adverse components, whereby investors herd towards and away from the market portfolio, respectively. Using A-shares listed in the Chinese equity market from August 2005 to March 2021, we show that the market volatility is Granger caused by the measure, and that there exists an asymmetric effect between positive and adverse herding on volatility. Furthermore, we provide robust evidence that the information contained in the herding measure helps generate significantly improved volatility forecasts and add economic value to investors. Our paper not only contributes to the volatility forecasting literature but also advances our understanding of herding in the equity market.

Suggested Citation

  • Fei, Tianlun & Liu, Xiaoquan, 2021. "Herding and market volatility," International Review of Financial Analysis, Elsevier, vol. 78(C).
    • Handle: RePEc:eee:finana:v:78:y:2021:i:c:s105752192100209x
    DOI: 10.1016/j.irfa.2021.101880
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    More about this item

    Keywords

    Adverse herding; Behavioral bias; Emerging market; Realized volatility; Leverage effect;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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