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The COVID-19 Pandemic and Herding Behaviour: Evidence from India’s Stock Market

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  • Rosy Dhall
  • Bhanwar Singh

Abstract

This article examines the herding behaviour at the industry level from national stock exchange (NSE). The novel contribution of this article is to examine the herding behaviour during the whole, pre- and post-coronavirus disease 2019 (COVID-19) pandemic outbreak period. We deployed the popular model proposed by Chang et al. (2000) to examine herd formation. Using daily stock closing prices of 191 firms, which constitute the 12 industry indices for the period from 1 January 2015 to 1 June 2020, the results for the full sample period (1 January 2015 to 1 June 2020) and before COVID-19 outbreak period (1 January 2015 to 29 January 2020) indicate the non-existence of herding formation at the industry level, but they do suggest a strong evidence of anti-herding behaviour. In addition, during the bull and bear market conditions, we found evidence of herding behaviour during the post-COVID-19 outbreak period (1 January 2020 to 1 June 2020). Further, the findings suggest that COVID-19 pandemic caused the formation of herding behaviour at the industry level. The study facilitates investors to devise their trading strategies in the regime of the COVID-19 pandemic.

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  • Rosy Dhall & Bhanwar Singh, 2020. "The COVID-19 Pandemic and Herding Behaviour: Evidence from India’s Stock Market," Millennial Asia, , vol. 11(3), pages 366-390, December.
    • Handle: RePEc:sae:millen:v:11:y:2020:i:3:p:366-390
    DOI: 10.1177/0976399620964635
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    2. Balcilar, Mehmet & Ozdemir, Huseyin & Agan, Busra, 2022. "Effects of COVID-19 on cryptocurrency and emerging market connectedness: Empirical evidence from quantile, frequency, and lasso networks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 604(C).
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    4. Tanveer, Zubair, 2021. "Event Analysis of the COVID-19: Evidence from the Stock Markets of Twenty Highly Infected Countries," Jurnal Ekonomi Malaysia, Faculty of Economics and Business, Universiti Kebangsaan Malaysia, vol. 55(1), pages 3-25.
    5. ATM Adnan & Sameer Al Johani, 2023. "Stock Market Reaction to COVID-19: A Cross-Sectional Industry Analysis in Frontier Market," IIM Kozhikode Society & Management Review, , vol. 12(2), pages 157-181, July.
    6. Shaifali Chauhan & Richa Banerjee & Vishal Dagar, 2023. "Analysis of Impulse Buying Behaviour of Consumer During COVID-19: An Empirical Study," Millennial Asia, , vol. 14(2), pages 278-299, June.
    7. Richard T. Ampofo & Eric N. Aidoo & Bernard O. Ntiamoah & Ophelia Frimpong & Daniel Sasu, 2023. "An empirical investigation of COVID-19 effects on herding behaviour in USA and UK stock markets using a quantile regression approach," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 47(2), pages 517-540, June.
    8. Ozkan Haykir & Ibrahim Yagli, 2022. "Speculative bubbles and herding in cryptocurrencies," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-33, December.
    9. Naresh Kumar Devulapally & Tulasi Narendra Das Tripurana, 2023. "Physical Momentum in the Indian Stock Market," Papers 2302.13245, arXiv.org.

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