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Herding in Imperial Russia: Evidence from the St. Petersburg Stock Exchange (1865–1914)

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  • Konstantinos Gavriilidis
  • Vasileios Kallinterakis

Abstract

We present seminal empirical evidence on market-wide herding from historical markets for the St. Petersburg stock exchange between 1865 and 1914. Our findings indicate the presence of herding in Imperial Russia’s largest equity market, which tends to vary among industries and grow stronger during months of negative performance and declining volatility. Controlling for the 1893-reform that prompted wider social participation in equity trading, we find that herding surfaces exclusively in the post-reform years, with no evidence of herding arising pre-reform. Our results showcase that the behavior of investors in historical stock exchanges exhibits patterns similar to those of modern-day ones.

Suggested Citation

  • Konstantinos Gavriilidis & Vasileios Kallinterakis, 2023. "Herding in Imperial Russia: Evidence from the St. Petersburg Stock Exchange (1865–1914)," Journal of Behavioral Finance, Taylor & Francis Journals, vol. 24(4), pages 383-397, October.
    • Handle: RePEc:taf:hbhfxx:v:24:y:2023:i:4:p:383-397
    DOI: 10.1080/15427560.2021.1986715
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