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COVID-19 pandemic and herd behavior: Evidence from a frontier market

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  • Nguyen, Huu Manh
  • Bakry, Walid
  • Vuong, Thi Huong Giang

Abstract

This paper examines the presence of herd behavior in the Vietnamese stock market using the cross-sectional absolute deviation (CSAD) method and by applying quantile regression (QR). We detect herd behavior in the Vietnamese stock market from January 2016 to May 2022. Herd behavior is less pronounced for bullish markets, yet more prominent under other market conditions. Importantly, the paper provides insight into the herd phenomenon during COVID-19’s fourth wave outbreak in Vietnam. We discover that during the fourth wave outbreak, investors on the Hanoi Stock Exchange (HNX) do not engage in herding. However, herd behavior does manifest on the Ho Chi Minh Stock Exchange (HOSE) with falling stock prices engendering pessimistic herd selling. Knowledge of this empirical evidence of herd behavior in the Vietnamese stock market should prove useful to investors in determining the intrinsic value of stocks, and to policymakers wishing to enhance the efficiency of the equity market.

Suggested Citation

  • Nguyen, Huu Manh & Bakry, Walid & Vuong, Thi Huong Giang, 2023. "COVID-19 pandemic and herd behavior: Evidence from a frontier market," Journal of Behavioral and Experimental Finance, Elsevier, vol. 38(C).
    • Handle: RePEc:eee:beexfi:v:38:y:2023:i:c:s2214635023000217
    DOI: 10.1016/j.jbef.2023.100807
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    More about this item

    Keywords

    Herd behavior; COVID-19 pandemic; Cross-sectional absolute deviation; Quantile regression; Vietnamese stock market;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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